| Metric |
Strategy |
SPX |
|---|
| Trade Count |
23 |
1 |
| Win/Loss rate |
15 / 8 = 1.88 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
3 |
- |
| Max DIT Reaches |
20 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
57.65 |
1458 |
| Cumulative Return |
102.62% |
76.36% |
| CAGR |
19.34% |
15.26% |
| Max Drawdown |
-75.23% |
-26.7% |
| Sharpe |
0.59 |
0.93 |
| Alpha |
0.24 |
- |
| Beta |
0.81 |
- |
| Kelly Criterion |
0.65 |
-7.24 |
| Profit Factor |
1.1 |
1.12 |
| Probabilistic Sharpe |
88.39% |
96.82% |
| Smart Sharpe |
0.59 |
0.93 |
| Annual Volatility |
61.94% |
16.74% |
| Omega |
1.1 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-5.47% |
-1.33% |
| Avg Drawdown Days |
14 |
14 |
| Avg Up Month |
13.31 |
4.18 |
| Avg Down Month |
-9.78% |
-4.78% |
| R^2 |
0.05 |
0.05 |
| Calmar |
0.26 |
0.57 |
| Treynor |
126.17 |
- |