| Metric |
Strategy |
SPX |
|---|
| Trade Count |
43 |
1 |
| Win/Loss rate |
35 / 8 = 4.38 |
- |
| Adjustments |
13 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
20 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
23.4 |
297 |
| Cumulative Return |
149.86% |
22.99% |
| CAGR |
208.14% |
28.96% |
| Max Drawdown |
-9.99% |
-8.54% |
| Sharpe |
2.67 |
2.11 |
| Alpha |
1.01 |
- |
| Beta |
0.79 |
- |
| Kelly Criterion |
17.25 |
30.12 |
| Profit Factor |
1.68 |
1.44 |
| Probabilistic Sharpe |
99.78% |
96.8% |
| Smart Sharpe |
2.45 |
1.93 |
| Annual Volatility |
45.49% |
12.32% |
| Omega |
1.68 |
- |
| Information ratio |
0.14 |
- |
| Avg Drawdown |
-4.27% |
-1.31% |
| Avg Drawdown Days |
9 |
9 |
| Avg Up Month |
12.31 |
3.55 |
| Avg Down Month |
|
|
| R^2 |
0.05 |
0.05 |
| Calmar |
20.83 |
3.39 |
| Treynor |
190.26 |
- |