| Metric |
Strategy |
SPX |
|---|
| Trade Count |
22 |
1 |
| Win/Loss rate |
0 / 22 = 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
22 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
1 |
361 |
| Cumulative Return |
54.17% |
-19.85% |
| CAGR |
54.91% |
-20.04% |
| Max Drawdown |
-14.51% |
-27.37% |
| Sharpe |
0.23 |
-0.1 |
| Alpha |
0.01 |
- |
| Beta |
0.04 |
- |
| Kelly Criterion |
4.46 |
-24.23 |
| Profit Factor |
1.09 |
0.98 |
| Probabilistic Sharpe |
97.4% |
19.2% |
| Smart Sharpe |
0.22 |
-0.09 |
| Annual Volatility |
2.61% |
2.57% |
| Omega |
1.09 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-0.29% |
-5.63% |
| Avg Drawdown Days |
1 |
72 |
| Avg Up Month |
7.17 |
6.28 |
| Avg Down Month |
-2.43% |
-4.49% |
| R^2 |
0 |
0 |
| Calmar |
3.78 |
-0.73 |
| Treynor |
1297.05 |
- |