| Metric |
Strategy |
SPX |
|---|
| Trade Count |
48 |
1 |
| Win/Loss rate |
8 / 40 = 0.2 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
12 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
20.44 |
297 |
| Cumulative Return |
-155.69% |
22.99% |
| CAGR |
-51.3% |
28.96% |
| Max Drawdown |
-159.79% |
-8.54% |
| Sharpe |
-0.89 |
2.11 |
| Alpha |
-11.94 |
- |
| Beta |
6.63 |
- |
| Kelly Criterion |
-150.87 |
5.76 |
| Profit Factor |
0.62 |
1.44 |
| Probabilistic Sharpe |
13.51% |
96.8% |
| Smart Sharpe |
-0.81 |
1.91 |
| Annual Volatility |
1142.91% |
12.32% |
| Omega |
0.62 |
- |
| Information ratio |
-0.06 |
- |
| Avg Drawdown |
-54.1% |
-1.31% |
| Avg Drawdown Days |
96 |
9 |
| Avg Up Month |
129.26 |
2.67 |
| Avg Down Month |
-147.16% |
-0.62% |
| R^2 |
0.01 |
0.01 |
| Calmar |
-0.32 |
3.39 |
| Treynor |
-23.47 |
- |