| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
10 / 1 = 10 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
31.55 |
363 |
| Cumulative Return |
11.34% |
24.92% |
| CAGR |
11.41% |
25.07% |
| Max Drawdown |
-4.63% |
-8.73% |
| Sharpe |
1.6 |
1.85 |
| Alpha |
-0.01 |
- |
| Beta |
0.52 |
- |
| Kelly Criterion |
8.58 |
11.44 |
| Profit Factor |
1.23 |
1.26 |
| Probabilistic Sharpe |
94.07% |
96.28% |
| Smart Sharpe |
1.51 |
1.75 |
| Annual Volatility |
6.91% |
12.49% |
| Omega |
1.23 |
- |
| Information ratio |
-0.08 |
- |
| Avg Drawdown |
-0.49% |
-1.01% |
| Avg Drawdown Days |
5 |
6 |
| Avg Up Month |
1.56 |
2.94 |
| Avg Down Month |
-2.33% |
-3.25% |
| R^2 |
0.87 |
0.87 |
| Calmar |
2.47 |
2.87 |
| Treynor |
22.01 |
- |