| Metric |
Strategy |
SPX |
|---|
| Trade Count |
16 |
1 |
| Win/Loss rate |
9 / 7 = 1.29 |
- |
| Adjustments |
77 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
22.06 |
361 |
| Cumulative Return |
78.43% |
-20.33% |
| CAGR |
79.58% |
-20.53% |
| Max Drawdown |
-55.07% |
-25.39% |
| Sharpe |
1.06 |
-0.85 |
| Alpha |
1.58 |
- |
| Beta |
1.42 |
- |
| Kelly Criterion |
7.68 |
-24.97 |
| Profit Factor |
1.29 |
0.87 |
| Probabilistic Sharpe |
86.51% |
19.91% |
| Smart Sharpe |
0.94 |
-0.75 |
| Annual Volatility |
122.17% |
23.72% |
| Omega |
1.29 |
- |
| Information ratio |
0.08 |
- |
| Avg Drawdown |
-9.86% |
-25.39% |
| Avg Drawdown Days |
17 |
360 |
| Avg Up Month |
41.72 |
5.83 |
| Avg Down Month |
-22.74% |
-5.27% |
| R^2 |
0.08 |
0.08 |
| Calmar |
1.44 |
-0.81 |
| Treynor |
55.22 |
- |