DeltaRay Portal
NameBoxcar / Boxcar-OOS-IVRank60-DeltaNeutral-TP&SL
Period2017-01-03 - 2018-12-28
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 98 1
Win/Loss rate 58 / 40 = 1.45
Adjustments 0
PT Hits 0
SL Hits 3
Max DIT Reaches 95
Settlements 0
Avg Days in Trade 6.96 724
Cumulative Return 72.19% 10.74%
CAGR 31.52% 5.28%
Max Drawdown -17.66% -18.89%
Sharpe 1.32 0.49
Alpha 0.3 -
Beta -0.02 -
Kelly Criterion -21.68 -10.75
Profit Factor 1.39 1.09
Probabilistic Sharpe 94.93% 75.09%
Smart Sharpe 1.28 0.47
Annual Volatility 22.82% 12.11%
Omega 1.39 -
Information ratio 0.06 -
Avg Drawdown -2.43% -1.26%
Avg Drawdown Days 16 14
Avg Up Month 2.6800 1.7400
Avg Down Month -3.8% -6.57%
R^2 0 0
Calmar 1.78 0.28
Treynor -4036.97 -
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