| Metric |
Strategy |
SPX |
|---|
| Trade Count |
17 |
1 |
| Win/Loss rate |
14 / 3 = 4.67 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
3 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
56 |
- |
| Avg Days in Trade |
0.62 |
42 |
| Cumulative Return |
-0.24% |
1.87% |
| CAGR |
-2.07% |
17.52% |
| Max Drawdown |
-2.9% |
-4.04% |
| Sharpe |
-0.37 |
1.12 |
| Alpha |
-0.03 |
- |
| Beta |
0.05 |
- |
| Kelly Criterion |
-6.87 |
-7.7 |
| Profit Factor |
0.98 |
1.03 |
| Probabilistic Sharpe |
44.84% |
64.76% |
| Smart Sharpe |
-0.33 |
1 |
| Annual Volatility |
5.19% |
15.37% |
| Omega |
0.98 |
- |
| Information ratio |
-0.01 |
- |
| Avg Drawdown |
-0.05% |
-0.36% |
| Avg Drawdown Days |
0 |
1 |
| Avg Up Month |
1.22 |
0.85 |
| Avg Down Month |
|
|
| R^2 |
0.03 |
0.03 |
| Calmar |
-0.71 |
4.33 |
| Treynor |
-4.4 |
- |