DeltaRay Portal
NameBoxcar / Boxcar-Opt-IVRank60-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 168 1
Win/Loss rate 81 / 87 = 0.93
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 155
Settlements 0
Avg Days in Trade 6.71 1395
Cumulative Return 294.41% 54.71%
CAGR 43.2% 12.1%
Max Drawdown -36.06% -32.69%
Sharpe 1.06 0.68
Alpha 0.43 -
Beta 0.03 -
Kelly Criterion 7.6 -16.32
Profit Factor 1.55 1.13
Probabilistic Sharpe 99.84% 90.56%
Smart Sharpe 1.04 0.67
Annual Volatility 40.61% 19.74%
Omega 1.55 -
Information ratio 0.04 -
Avg Drawdown -3.02% -1.75%
Avg Drawdown Days 18 13
Avg Up Month 4.9300 3.3700
Avg Down Month -3.7% -6.56%
R^2 0 0
Calmar 1.2 0.37
Treynor 9621.53 -
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