| Metric |
Strategy |
SPX |
|---|
| Trade Count |
78 |
1 |
| Win/Loss rate |
42 / 36 = 1.17 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.05 |
297 |
| Cumulative Return |
8.67% |
22.99% |
| CAGR |
10.76% |
28.96% |
| Max Drawdown |
-67.87% |
-8.54% |
| Sharpe |
0.76 |
2.11 |
| Alpha |
0.97 |
- |
| Beta |
0.01 |
- |
| Kelly Criterion |
-18.24 |
-35.79 |
| Profit Factor |
1.18 |
1.44 |
| Probabilistic Sharpe |
75% |
96.8% |
| Smart Sharpe |
0.73 |
2.03 |
| Annual Volatility |
127.63% |
12.32% |
| Omega |
1.18 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-31.48% |
-1.31% |
| Avg Drawdown Days |
72 |
9 |
| Avg Up Month |
15.82 |
2.71 |
| Avg Down Month |
-22.18% |
-0.62% |
| R^2 |
0 |
0 |
| Calmar |
0.16 |
3.39 |
| Treynor |
765.9 |
- |