| Metric |
Strategy |
SPX |
|---|
| Trade Count |
0 |
1 |
| Win/Loss rate |
0 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
0 |
360 |
| Cumulative Return |
18.09% |
28.08% |
| CAGR |
18.36% |
28.52% |
| Max Drawdown |
-72.19% |
-5.18% |
| Sharpe |
0.63 |
2.09 |
| Alpha |
0.72 |
- |
| Beta |
-0.65 |
- |
| Kelly Criterion |
16.96 |
-11.89 |
| Profit Factor |
1.16 |
1.43 |
| Probabilistic Sharpe |
73.56% |
98.01% |
| Smart Sharpe |
0.6 |
1.97 |
| Annual Volatility |
86.85% |
12.24% |
| Omega |
1.16 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-15.64% |
-1.25% |
| Avg Drawdown Days |
41 |
9 |
| Avg Up Month |
13.13 |
2.68 |
| Avg Down Month |
-2.93% |
-2.53% |
| R^2 |
0.01 |
0.01 |
| Calmar |
0.25 |
5.5 |
| Treynor |
-28 |
- |