| Metric |
Strategy |
SPX |
|---|
| Trade Count |
7 |
1 |
| Win/Loss rate |
6 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
28 |
- |
| Avg Days in Trade |
19.41 |
247 |
| Cumulative Return |
3.22% |
16.95% |
| CAGR |
4.79% |
26.03% |
| Max Drawdown |
-2.19% |
-8.56% |
| Sharpe |
0.65 |
1.85 |
| Alpha |
0.04 |
- |
| Beta |
0.02 |
- |
| Kelly Criterion |
15.08 |
4.43 |
| Profit Factor |
1.13 |
1.4 |
| Probabilistic Sharpe |
70.49% |
91.53% |
| Smart Sharpe |
0.37 |
1.05 |
| Annual Volatility |
7.6% |
12.91% |
| Omega |
1.13 |
- |
| Information ratio |
-0.08 |
- |
| Avg Drawdown |
-0.81% |
-1.41% |
| Avg Drawdown Days |
14 |
10 |
| Avg Up Month |
0.47 |
3.4 |
| Avg Down Month |
|
|
| R^2 |
0 |
0 |
| Calmar |
2.19 |
3.04 |
| Treynor |
144.46 |
- |