| Metric |
Strategy |
SPX |
|---|
| Trade Count |
19 |
1 |
| Win/Loss rate |
14 / 5 = 2.8 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
4 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
16.89 |
361 |
| Cumulative Return |
78.31% |
-20.33% |
| CAGR |
79.46% |
-20.53% |
| Max Drawdown |
-5.82% |
-25.39% |
| Sharpe |
3.23 |
-0.85 |
| Alpha |
0.59 |
- |
| Beta |
-0.06 |
- |
| Kelly Criterion |
17.02 |
-27.11 |
| Profit Factor |
1.75 |
0.87 |
| Probabilistic Sharpe |
99.91% |
19.9% |
| Smart Sharpe |
3 |
-0.79 |
| Annual Volatility |
18.53% |
23.62% |
| Omega |
1.75 |
- |
| Information ratio |
0.16 |
- |
| Avg Drawdown |
-1.78% |
-25.39% |
| Avg Drawdown Days |
9 |
360 |
| Avg Up Month |
5.88 |
5.88 |
| Avg Down Month |
-0.16% |
-4.25% |
| R^2 |
0.01 |
0.01 |
| Calmar |
13.64 |
-0.81 |
| Treynor |
-1229.33 |
- |