| Metric |
Strategy |
SPX |
|---|
| Trade Count |
193 |
1 |
| Win/Loss rate |
79 / 114 = 0.69 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
48 |
- |
| Max DIT Reaches |
143 |
- |
| Settlements |
8 |
- |
| Avg Days in Trade |
6.17 |
1458 |
| Cumulative Return |
556.01% |
75.85% |
| CAGR |
60.14% |
15.18% |
| Max Drawdown |
-65.9% |
-25.35% |
| Sharpe |
1.11 |
0.93 |
| Alpha |
0.7 |
- |
| Beta |
-0.46 |
- |
| Kelly Criterion |
-11.14 |
-24.92 |
| Profit Factor |
1.21 |
1.13 |
| Probabilistic Sharpe |
98.71% |
96.8% |
| Smart Sharpe |
1.07 |
0.9 |
| Annual Volatility |
56.93% |
16.67% |
| Omega |
1.21 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-7.45% |
-1.28% |
| Avg Drawdown Days |
24 |
13 |
| Avg Up Month |
9.91 |
3.25 |
| Avg Down Month |
-11.12% |
-4.96% |
| R^2 |
0.02 |
0.02 |
| Calmar |
0.91 |
0.6 |
| Treynor |
-1214.2 |
- |