| Metric |
Strategy |
SPX |
|---|
| Trade Count |
662 |
1 |
| Win/Loss rate |
403 / 259 = 1.56 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
172 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
19.75 |
4014 |
| Cumulative Return |
649.24% |
198.05% |
| CAGR |
20.1% |
10.44% |
| Max Drawdown |
-29.94% |
-32.79% |
| Sharpe |
1.32 |
0.71 |
| Alpha |
0.2 |
- |
| Beta |
-0.02 |
- |
| Kelly Criterion |
3.2 |
-19.88 |
| Profit Factor |
1.35 |
1.14 |
| Probabilistic Sharpe |
100% |
99.01% |
| Smart Sharpe |
1.23 |
0.67 |
| Annual Volatility |
14.65% |
15.68% |
| Omega |
1.35 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-1.47% |
-1.68% |
| Avg Drawdown Days |
17 |
17 |
| Avg Up Month |
2.39 |
3.26 |
| Avg Down Month |
-3.11% |
-5.48% |
| R^2 |
0 |
0 |
| Calmar |
0.67 |
0.32 |
| Treynor |
-37496.77 |
- |