| Metric |
Strategy |
SPX |
|---|
| Trade Count |
9 |
1 |
| Win/Loss rate |
7 / 2 = 3.5 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
9 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.44 |
361 |
| Cumulative Return |
56.88% |
-20.33% |
| CAGR |
57.66% |
-20.53% |
| Max Drawdown |
-20.13% |
-25.39% |
| Sharpe |
1.31 |
-0.85 |
| Alpha |
0.77 |
- |
| Beta |
1.17 |
- |
| Kelly Criterion |
26.39 |
-24.59 |
| Profit Factor |
1.38 |
0.87 |
| Probabilistic Sharpe |
89.87% |
19.89% |
| Smart Sharpe |
1.25 |
-0.81 |
| Annual Volatility |
40.81% |
23.62% |
| Omega |
1.38 |
- |
| Information ratio |
0.15 |
- |
| Avg Drawdown |
-3.72% |
-25.39% |
| Avg Drawdown Days |
10 |
360 |
| Avg Up Month |
8.67 |
5.83 |
| Avg Down Month |
-4.28% |
-6.97% |
| R^2 |
0.46 |
0.46 |
| Calmar |
2.86 |
-0.81 |
| Treynor |
48.55 |
- |