| Metric |
Strategy |
SPX |
|---|
| Trade Count |
501 |
1 |
| Win/Loss rate |
266 / 235 = 1.13 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
26.98 |
4014 |
| Cumulative Return |
496.05% |
198.05% |
| CAGR |
17.62% |
10.44% |
| Max Drawdown |
-51.97% |
-32.79% |
| Sharpe |
0.74 |
0.71 |
| Alpha |
0.22 |
- |
| Beta |
-0.24 |
- |
| Kelly Criterion |
1.98 |
-23.6 |
| Profit Factor |
1.2 |
1.14 |
| Probabilistic Sharpe |
99.88% |
99.01% |
| Smart Sharpe |
0.67 |
0.64 |
| Annual Volatility |
25.99% |
15.68% |
| Omega |
1.2 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-4.15% |
-1.68% |
| Avg Drawdown Days |
45 |
17 |
| Avg Up Month |
3.4 |
3.02 |
| Avg Down Month |
-3.67% |
-3.82% |
| R^2 |
0.02 |
0.02 |
| Calmar |
0.34 |
0.32 |
| Treynor |
-2059 |
- |