| Metric |
Strategy |
SPX |
|---|
| Trade Count |
1 |
1 |
| Win/Loss rate |
1 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30 |
360 |
| Cumulative Return |
14.87% |
29.93% |
| CAGR |
15.09% |
30.41% |
| Max Drawdown |
-6.82% |
-5.43% |
| Sharpe |
1.07 |
2.07 |
| Alpha |
0.08 |
- |
| Beta |
0.27 |
- |
| Kelly Criterion |
44.66 |
14.55 |
| Profit Factor |
2.34 |
1.42 |
| Probabilistic Sharpe |
88.35% |
97.69% |
| Smart Sharpe |
0.96 |
1.85 |
| Annual Volatility |
13.82% |
13.12% |
| Omega |
2.34 |
- |
| Information ratio |
-0.05 |
- |
| Avg Drawdown |
-2.2% |
-1.25% |
| Avg Drawdown Days |
2 |
8 |
| Avg Up Month |
17.25 |
5.49 |
| Avg Down Month |
-2.03% |
-1.34% |
| R^2 |
0.07 |
0.07 |
| Calmar |
2.21 |
5.6 |
| Treynor |
55.07 |
- |