| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
8 / 3 = 2.67 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
31.55 |
361 |
| Cumulative Return |
6.47% |
-19.91% |
| CAGR |
6.55% |
-20.11% |
| Max Drawdown |
-8.38% |
-26.7% |
| Sharpe |
0.72 |
-0.83 |
| Alpha |
0.02 |
- |
| Beta |
-0.24 |
- |
| Kelly Criterion |
43.83 |
-63.4 |
| Profit Factor |
1.12 |
0.91 |
| Probabilistic Sharpe |
76.24% |
20.5% |
| Smart Sharpe |
0.68 |
-0.78 |
| Annual Volatility |
9.36% |
23.71% |
| Omega |
1.12 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-1.04% |
-26.7% |
| Avg Drawdown Days |
13 |
360 |
| Avg Up Month |
0.5 |
2.8 |
| Avg Down Month |
-0.08% |
-4.66% |
| R^2 |
0.36 |
0.36 |
| Calmar |
0.78 |
-0.75 |
| Treynor |
-27.29 |
- |