DeltaRay Portal
NameBoxcar / Boxcar-Opt-DeltaNeutral
Period2019-01-02 - 2022-10-28
Version MesoSim-2.1.7-0-g5ce4540
Symbol SPX
Cash $25,000
Structure Boxcar
Max number of positions in flight 1
Expirations 1
Legs 4
Metric Strategy ^SPX
Trade Count 183 1
Win/Loss rate 89 / 94 = 0.95
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 183
Settlements 0
Avg Days in Trade 7.05 1395
Cumulative Return 285.55% 54.71%
CAGR 42.35% 12.1%
Max Drawdown -49.83% -32.69%
Sharpe 0.97 0.68
Alpha 0.44 -
Beta 0.09 -
Kelly Criterion -9.69 -19.93
Profit Factor 1.38 1.13
Probabilistic Sharpe 99.01% 90.53%
Smart Sharpe 0.87 0.61
Annual Volatility 46.38% 19.81%
Omega 1.38 -
Information ratio 0.04 -
Avg Drawdown -4.01% -1.75%
Avg Drawdown Days 18 13
Avg Up Month 5.8400 2.9900
Avg Down Month -18.63% -6.56%
R^2 0 0
Calmar 0.85 0.37
Treynor 3291.94 -
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