DeltaRay Portal
NameBoxcar / Boxcar-Opt-IVRank-60
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 155 / 13 = 11.92
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 155
Settlements 0
Avg Days in Trade 6.71 1395
Cumulative Return 359.1% 54.71%
CAGR 49% 12.1%
Max Drawdown -37.43% -32.69%
Sharpe 1.2 0.68
Alpha 0.41 -
Beta 0.39 -
Kelly Criterion 12.22 -7.33
Profit Factor 1.71 1.13
Probabilistic Sharpe 99.93% 90.56%
Smart Sharpe 1.19 0.67
Annual Volatility 38.59% 19.74%
Omega 1.71 -
Information ratio 0.05 -
Avg Drawdown -1.74% -1.75%
Avg Drawdown Days 8 13
Avg Up Month 4.6300 4.4700
Avg Down Month -2.86% -8.8%
R^2 0.04 0.04
Calmar 1.31 0.37
Treynor 927.24 -
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