| Metric |
Strategy |
SPX |
|---|
| Trade Count |
9 |
1 |
| Win/Loss rate |
8 / 1 = 8 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
9 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.78 |
361 |
| Cumulative Return |
69.75% |
-20.33% |
| CAGR |
70.75% |
-20.53% |
| Max Drawdown |
-33.01% |
-25.39% |
| Sharpe |
1.19 |
-0.85 |
| Alpha |
1.01 |
- |
| Beta |
1.51 |
- |
| Kelly Criterion |
26.31 |
-21.59 |
| Profit Factor |
1.4 |
0.87 |
| Probabilistic Sharpe |
88.94% |
19.9% |
| Smart Sharpe |
1.13 |
-0.81 |
| Annual Volatility |
59.39% |
23.62% |
| Omega |
1.4 |
- |
| Information ratio |
0.12 |
- |
| Avg Drawdown |
-3.76% |
-25.39% |
| Avg Drawdown Days |
7 |
360 |
| Avg Up Month |
7.39 |
5.83 |
| Avg Down Month |
-8.82% |
-6.5% |
| R^2 |
0.36 |
0.36 |
| Calmar |
2.14 |
-0.81 |
| Treynor |
46.07 |
- |