| Metric |
Strategy |
SPX |
|---|
| Trade Count |
9 |
1 |
| Win/Loss rate |
9 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
36 |
- |
| Avg Days in Trade |
18.47 |
300 |
| Cumulative Return |
3.81% |
8.32% |
| CAGR |
4.65% |
10.21% |
| Max Drawdown |
-2.17% |
-9.79% |
| Sharpe |
0.89 |
0.76 |
| Alpha |
0.05 |
- |
| Beta |
0.01 |
- |
| Kelly Criterion |
-4.87 |
0.67 |
| Profit Factor |
1.23 |
1.13 |
| Probabilistic Sharpe |
78.74% |
75.36% |
| Smart Sharpe |
0.51 |
0.43 |
| Annual Volatility |
5.21% |
14.08% |
| Omega |
1.23 |
- |
| Information ratio |
-0.03 |
- |
| Avg Drawdown |
-0.4% |
-2.04% |
| Avg Drawdown Days |
8 |
16 |
| Avg Up Month |
0.45 |
4.2 |
| Avg Down Month |
-0.27% |
-5.48% |
| R^2 |
0 |
0 |
| Calmar |
2.14 |
1.04 |
| Treynor |
313.54 |
- |