| Metric |
Strategy |
SPX |
|---|
| Trade Count |
167 |
1 |
| Win/Loss rate |
80 / 87 = 0.92 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
5 |
- |
| Max DIT Reaches |
153 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6.68 |
1395 |
| Cumulative Return |
265.45% |
54.71% |
| CAGR |
40.37% |
12.1% |
| Max Drawdown |
-17.08% |
-32.69% |
| Sharpe |
1.55 |
0.68 |
| Alpha |
0.39 |
- |
| Beta |
-0.14 |
- |
| Kelly Criterion |
4.31 |
-17.57 |
| Profit Factor |
1.45 |
1.13 |
| Probabilistic Sharpe |
99.89% |
90.54% |
| Smart Sharpe |
1.44 |
0.63 |
| Annual Volatility |
23.82% |
19.78% |
| Omega |
1.45 |
- |
| Information ratio |
0.05 |
- |
| Avg Drawdown |
-3.12% |
-1.75% |
| Avg Drawdown Days |
19 |
13 |
| Avg Up Month |
5.63 |
3.37 |
| Avg Down Month |
-3.74% |
-5.81% |
| R^2 |
0.01 |
0.01 |
| Calmar |
2.36 |
0.37 |
| Treynor |
-1847.73 |
- |