| Metric |
Strategy |
SPX |
|---|
| Trade Count |
43 |
1 |
| Win/Loss rate |
31 / 12 = 2.58 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
39 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
2.95 |
330 |
| Cumulative Return |
53.04% |
16.09% |
| CAGR |
60.33% |
18% |
| Max Drawdown |
-10.02% |
-18.63% |
| Sharpe |
1.8 |
0.95 |
| Alpha |
0.63 |
- |
| Beta |
-0.65 |
- |
| Kelly Criterion |
24.46 |
-3.19 |
| Profit Factor |
2.01 |
1.21 |
| Probabilistic Sharpe |
98.68% |
82.04% |
| Smart Sharpe |
1.41 |
0.75 |
| Annual Volatility |
28.21% |
19.32% |
| Omega |
2.01 |
- |
| Information ratio |
0.05 |
- |
| Avg Drawdown |
-1.68% |
-2.78% |
| Avg Drawdown Days |
13 |
19 |
| Avg Up Month |
4.93 |
2.6 |
| Avg Down Month |
|
|
| R^2 |
0.2 |
0.2 |
| Calmar |
6.02 |
0.97 |
| Treynor |
-81.17 |
- |