| Metric |
Strategy |
SPX |
|---|
| Trade Count |
20 |
1 |
| Win/Loss rate |
15 / 5 = 3 |
- |
| Adjustments |
95 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
34.25 |
725 |
| Cumulative Return |
19.93% |
-0.35% |
| CAGR |
9.58% |
-0.17% |
| Max Drawdown |
-5.56% |
-25.39% |
| Sharpe |
1.32 |
0.09 |
| Alpha |
0.09 |
- |
| Beta |
0.14 |
- |
| Kelly Criterion |
7.46 |
-32.66 |
| Profit Factor |
1.29 |
1.01 |
| Probabilistic Sharpe |
95.24% |
54.82% |
| Smart Sharpe |
1.31 |
0.09 |
| Annual Volatility |
7.15% |
19.08% |
| Omega |
1.29 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-0.78% |
-25.39% |
| Avg Drawdown Days |
12 |
724 |
| Avg Up Month |
1.28 |
4.94 |
| Avg Down Month |
-2.17% |
-4.72% |
| R^2 |
0.14 |
0.14 |
| Calmar |
1.72 |
-0.01 |
| Treynor |
142.61 |
- |