| Metric |
Strategy |
SPX |
|---|
| Trade Count |
42 |
1 |
| Win/Loss rate |
3 / 39 = 0.08 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
6 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
16.81 |
247 |
| Cumulative Return |
-173.32% |
16.95% |
| CAGR |
-36.78% |
26.03% |
| Max Drawdown |
-178.19% |
-8.56% |
| Sharpe |
-1.22 |
1.85 |
| Alpha |
-271.46 |
- |
| Beta |
46.31 |
- |
| Kelly Criterion |
-2677.06 |
11.07 |
| Profit Factor |
0.1 |
1.4 |
| Probabilistic Sharpe |
2.16% |
91.53% |
| Smart Sharpe |
-1.22 |
1.85 |
| Annual Volatility |
21271.51% |
12.91% |
| Omega |
0.1 |
- |
| Information ratio |
-0.08 |
- |
| Avg Drawdown |
-89.34% |
-1.41% |
| Avg Drawdown Days |
120 |
10 |
| Avg Up Month |
248.08 |
1.07 |
| Avg Down Month |
-18.08% |
-2.53% |
| R^2 |
0 |
0 |
| Calmar |
-0.21 |
3.04 |
| Treynor |
-3.74 |
- |