| Metric |
Strategy |
SPX |
|---|
| Trade Count |
203 |
1 |
| Win/Loss rate |
169 / 34 = 4.97 |
- |
| Adjustments |
199 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
47 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
35.43 |
1459 |
| Cumulative Return |
42.19% |
77.94% |
| CAGR |
9.21% |
15.51% |
| Max Drawdown |
-6.74% |
-34.87% |
| Sharpe |
2.2 |
0.89 |
| Alpha |
0.07 |
- |
| Beta |
0.09 |
- |
| Kelly Criterion |
11.96 |
4.08 |
| Profit Factor |
1.33 |
1.12 |
| Probabilistic Sharpe |
100% |
96.21% |
| Smart Sharpe |
2.06 |
0.84 |
| Annual Volatility |
4.04% |
18% |
| Omega |
1.33 |
- |
| Information ratio |
-0.02 |
- |
| Avg Drawdown |
-0.26% |
-1.19% |
| Avg Drawdown Days |
6 |
8 |
| Avg Up Month |
1.07 |
3.85 |
| Avg Down Month |
-1.25% |
-7.29% |
| R^2 |
0.17 |
0.17 |
| Calmar |
1.37 |
0.44 |
| Treynor |
460.18 |
- |