| Metric |
Strategy |
SPX |
|---|
| Trade Count |
3 |
1 |
| Win/Loss rate |
3 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
3 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
90.67 |
360 |
| Cumulative Return |
4.87% |
29.93% |
| CAGR |
4.94% |
30.41% |
| Max Drawdown |
-0.88% |
-5.43% |
| Sharpe |
2.03 |
2.08 |
| Alpha |
0 |
- |
| Beta |
0.16 |
- |
| Kelly Criterion |
20.12 |
12.42 |
| Profit Factor |
1.47 |
1.43 |
| Probabilistic Sharpe |
97.2% |
97.69% |
| Smart Sharpe |
1.61 |
1.65 |
| Annual Volatility |
2.38% |
13.14% |
| Omega |
1.47 |
- |
| Information ratio |
-0.13 |
- |
| Avg Drawdown |
-0.23% |
-1.25% |
| Avg Drawdown Days |
5 |
8 |
| Avg Up Month |
0.52 |
3.18 |
| Avg Down Month |
-0.22% |
-2.48% |
| R^2 |
0.79 |
0.79 |
| Calmar |
5.64 |
5.6 |
| Treynor |
30.34 |
- |