| Metric |
Strategy |
SPX |
|---|
| Trade Count |
32 |
1 |
| Win/Loss rate |
18 / 14 = 1.29 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
2 |
- |
| Max DIT Reaches |
22 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.78 |
361 |
| Cumulative Return |
152.51% |
-19.92% |
| CAGR |
155.12% |
-20.12% |
| Max Drawdown |
-50.02% |
-24.89% |
| Sharpe |
1.56 |
-0.85 |
| Alpha |
1.2 |
- |
| Beta |
-0.12 |
- |
| Kelly Criterion |
4.09 |
-82.26 |
| Profit Factor |
1.53 |
0.87 |
| Probabilistic Sharpe |
95.26% |
19.71% |
| Smart Sharpe |
1.41 |
-0.77 |
| Annual Volatility |
78.15% |
22.93% |
| Omega |
1.53 |
- |
| Information ratio |
0.11 |
- |
| Avg Drawdown |
-8.32% |
-24.89% |
| Avg Drawdown Days |
27 |
360 |
| Avg Up Month |
|
|
| Avg Down Month |
-6.2% |
-7.65% |
| R^2 |
0 |
0 |
| Calmar |
3.1 |
-0.81 |
| Treynor |
-1239.98 |
- |