| Metric |
Strategy |
SPX |
|---|
| Trade Count |
317 |
1 |
| Win/Loss rate |
257 / 60 = 4.28 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
45 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
366 |
- |
| Avg Days in Trade |
34.68 |
4378 |
| Cumulative Return |
541.14% |
273.45% |
| CAGR |
16.76% |
11.61% |
| Max Drawdown |
-25.06% |
-34.83% |
| Sharpe |
1.05 |
0.77 |
| Alpha |
0.07 |
- |
| Beta |
0.79 |
- |
| Kelly Criterion |
16.63 |
-1.82 |
| Profit Factor |
1.27 |
1.16 |
| Probabilistic Sharpe |
99.97% |
99.59% |
| Smart Sharpe |
1.04 |
0.77 |
| Annual Volatility |
16.03% |
15.86% |
| Omega |
1.27 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-1.25% |
-1.65% |
| Avg Drawdown Days |
11 |
19 |
| Avg Up Month |
3.41 |
3.44 |
| Avg Down Month |
-4.89% |
-5.12% |
| R^2 |
0.61 |
0.61 |
| Calmar |
0.67 |
0.33 |
| Treynor |
686.31 |
- |