DeltaRay Portal
NameBoxcar / Boxcar-Opt-Baseline
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 170 / 13 = 13.08
Adjustments 0
PT Hits 0
SL Hits 0
Max DIT Reaches 183
Settlements 0
Avg Days in Trade 7.05 1395
Cumulative Return 283.53% 54.71%
CAGR 42.15% 12.1%
Max Drawdown -56.81% -32.69%
Sharpe 1 0.68
Alpha 0.34 -
Beta 0.75 -
Kelly Criterion 2.48 -11.68
Profit Factor 1.41 1.13
Probabilistic Sharpe 98.92% 90.53%
Smart Sharpe 0.93 0.63
Annual Volatility 44.54% 19.81%
Omega 1.41 -
Information ratio 0.05 -
Avg Drawdown -2.55% -1.75%
Avg Drawdown Days 9 13
Avg Up Month 5.8600 4.5300
Avg Down Month -13.54% -8.8%
R^2 0.11 0.11
Calmar 0.74 0.37
Treynor 378.61 -
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