| Metric |
Strategy |
SPX |
|---|
| Trade Count |
276 |
1 |
| Win/Loss rate |
184 / 92 = 2 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
242 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
2.89 |
2157 |
| Cumulative Return |
141.51% |
109.68% |
| CAGR |
16.1% |
13.35% |
| Max Drawdown |
-7.81% |
-34.83% |
| Sharpe |
1.37 |
0.74 |
| Alpha |
0.18 |
- |
| Beta |
-0.14 |
- |
| Kelly Criterion |
13.13 |
0.28 |
| Profit Factor |
1.61 |
1.15 |
| Probabilistic Sharpe |
99.99% |
96.23% |
| Smart Sharpe |
1.31 |
0.71 |
| Annual Volatility |
11.4% |
19.69% |
| Omega |
1.61 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-1.12% |
-2.16% |
| Avg Drawdown Days |
25 |
20 |
| Avg Up Month |
2.02 |
3.87 |
| Avg Down Month |
-1.68% |
-3.96% |
| R^2 |
0.06 |
0.06 |
| Calmar |
2.06 |
0.38 |
| Treynor |
-1034.64 |
- |