| Metric |
Strategy |
SPX |
|---|
| Trade Count |
265 |
1 |
| Win/Loss rate |
138 / 127 = 1.09 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
8 |
- |
| Max DIT Reaches |
248 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6.78 |
2127 |
| Cumulative Return |
337.64% |
72.26% |
| CAGR |
28.83% |
9.78% |
| Max Drawdown |
-17.66% |
-32.69% |
| Sharpe |
1.46 |
0.62 |
| Alpha |
0.28 |
- |
| Beta |
-0.08 |
- |
| Kelly Criterion |
-6.26 |
-15.31 |
| Profit Factor |
1.43 |
1.12 |
| Probabilistic Sharpe |
99.93% |
93.16% |
| Smart Sharpe |
1.38 |
0.59 |
| Annual Volatility |
18.63% |
17.52% |
| Omega |
1.43 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-2.17% |
-1.72% |
| Avg Drawdown Days |
21 |
16 |
| Avg Up Month |
3.37 |
2.72 |
| Avg Down Month |
-2.95% |
-5.96% |
| R^2 |
0.01 |
0.01 |
| Calmar |
1.63 |
0.3 |
| Treynor |
-4086.58 |
- |