| Metric |
Strategy |
SPX |
|---|
| Trade Count |
33 |
1 |
| Win/Loss rate |
27 / 6 = 4.5 |
- |
| Adjustments |
0 |
- |
| PT Hits |
27 |
- |
| SL Hits |
6 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
38.88 |
361 |
| Cumulative Return |
-83.61% |
-20.04% |
| CAGR |
-83.93% |
-20.24% |
| Max Drawdown |
-637.83% |
-27.16% |
| Sharpe |
1.53 |
-0.82 |
| Alpha |
516.54 |
- |
| Beta |
50.41 |
- |
| Kelly Criterion |
38.77 |
5.84 |
| Profit Factor |
6.72 |
0.88 |
| Probabilistic Sharpe |
99.98% |
20.85% |
| Smart Sharpe |
1.51 |
-0.81 |
| Annual Volatility |
33176.66% |
24.08% |
| Omega |
6.72 |
- |
| Information ratio |
0.1 |
- |
| Avg Drawdown |
-361.65% |
-27.16% |
| Avg Drawdown Days |
179 |
360 |
| Avg Up Month |
|
|
| Avg Down Month |
-91.69% |
-6% |
| R^2 |
0 |
0 |
| Calmar |
-0.13 |
-0.75 |
| Treynor |
-1.66 |
- |