| Metric |
Strategy |
SPX |
|---|
| Trade Count |
77 |
1 |
| Win/Loss rate |
44 / 33 = 1.33 |
- |
| Adjustments |
0 |
- |
| PT Hits |
44 |
- |
| SL Hits |
33 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
1.52 |
545 |
| Cumulative Return |
-1.11% |
31.22% |
| CAGR |
-0.74% |
19.96% |
| Max Drawdown |
-12.83% |
-18.63% |
| Sharpe |
-0.01 |
1.15 |
| Alpha |
-0.05 |
- |
| Beta |
0.25 |
- |
| Kelly Criterion |
-13.3 |
11.92 |
| Profit Factor |
0.99 |
1.25 |
| Probabilistic Sharpe |
49.36% |
92.18% |
| Smart Sharpe |
-0.01 |
1.15 |
| Annual Volatility |
11% |
17.2% |
| Omega |
0.99 |
- |
| Information ratio |
-0.08 |
- |
| Avg Drawdown |
-2.22% |
-1.9% |
| Avg Drawdown Days |
62 |
14 |
| Avg Up Month |
1.4 |
3.59 |
| Avg Down Month |
-2.21% |
-2.61% |
| R^2 |
0.15 |
0.15 |
| Calmar |
-0.06 |
1.07 |
| Treynor |
-4.42 |
- |