| Metric |
Strategy |
SPX |
|---|
| Trade Count |
290 |
1 |
| Win/Loss rate |
227 / 63 = 3.6 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
46 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
138 |
- |
| Avg Days in Trade |
39.21 |
4378 |
| Cumulative Return |
266.99% |
273.45% |
| CAGR |
11.45% |
11.61% |
| Max Drawdown |
-38.25% |
-34.83% |
| Sharpe |
0.75 |
0.77 |
| Alpha |
0.04 |
- |
| Beta |
0.66 |
- |
| Kelly Criterion |
10.53 |
-4.98 |
| Profit Factor |
1.19 |
1.16 |
| Probabilistic Sharpe |
99.37% |
99.59% |
| Smart Sharpe |
0.74 |
0.77 |
| Annual Volatility |
16.37% |
15.86% |
| Omega |
1.19 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-1.64% |
-1.66% |
| Avg Drawdown Days |
18 |
19 |
| Avg Up Month |
3.64 |
3.21 |
| Avg Down Month |
-5.82% |
-4.52% |
| R^2 |
0.4 |
0.4 |
| Calmar |
0.3 |
0.33 |
| Treynor |
406.92 |
- |