| Metric |
Strategy |
SPX |
|---|
| Trade Count |
259 |
1 |
| Win/Loss rate |
131 / 128 = 1.02 |
- |
| Adjustments |
95 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
115 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
20.86 |
1607 |
| Cumulative Return |
181.82% |
90.08% |
| CAGR |
26.53% |
15.71% |
| Max Drawdown |
-42.98% |
-25.39% |
| Sharpe |
0.82 |
0.95 |
| Alpha |
0.26 |
- |
| Beta |
0.3 |
- |
| Kelly Criterion |
-5.03 |
-23.37 |
| Profit Factor |
1.19 |
1.18 |
| Probabilistic Sharpe |
94.58% |
97.5% |
| Smart Sharpe |
0.76 |
0.89 |
| Annual Volatility |
38.09% |
16.9% |
| Omega |
1.19 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-5.69% |
-1.71% |
| Avg Drawdown Days |
26 |
19 |
| Avg Up Month |
10.3 |
4.29 |
| Avg Down Month |
-5.76% |
-3.52% |
| R^2 |
0.02 |
0.02 |
| Calmar |
0.62 |
0.62 |
| Treynor |
612.92 |
- |