| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
4 / 7 = 0.57 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
31.45 |
363 |
| Cumulative Return |
-9.71% |
24.92% |
| CAGR |
-9.76% |
25.07% |
| Max Drawdown |
-14.77% |
-8.73% |
| Sharpe |
-0.89 |
1.85 |
| Alpha |
0.06 |
- |
| Beta |
-0.67 |
- |
| Kelly Criterion |
34.75 |
13.1 |
| Profit Factor |
0.89 |
1.26 |
| Probabilistic Sharpe |
18.78% |
96.28% |
| Smart Sharpe |
-0.88 |
1.84 |
| Annual Volatility |
10.88% |
12.49% |
| Omega |
0.89 |
- |
| Information ratio |
-0.07 |
- |
| Avg Drawdown |
-14.77% |
-1.01% |
| Avg Drawdown Days |
360 |
6 |
| Avg Up Month |
0.97 |
1.33 |
| Avg Down Month |
|
|
| R^2 |
0.59 |
0.59 |
| Calmar |
-0.66 |
2.87 |
| Treynor |
14.48 |
- |