| Metric |
Strategy |
SPX |
|---|
| Trade Count |
183 |
1 |
| Win/Loss rate |
89 / 94 = 0.95 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
183 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
7.05 |
1395 |
| Cumulative Return |
285.55% |
54.71% |
| CAGR |
42.35% |
12.1% |
| Max Drawdown |
-49.83% |
-32.69% |
| Sharpe |
0.97 |
0.68 |
| Alpha |
0.44 |
- |
| Beta |
0.09 |
- |
| Kelly Criterion |
-9.69 |
-19.93 |
| Profit Factor |
1.38 |
1.13 |
| Probabilistic Sharpe |
99.01% |
90.53% |
| Smart Sharpe |
0.87 |
0.61 |
| Annual Volatility |
46.38% |
19.81% |
| Omega |
1.38 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-4.01% |
-1.75% |
| Avg Drawdown Days |
18 |
13 |
| Avg Up Month |
5.84 |
2.99 |
| Avg Down Month |
-18.63% |
-6.56% |
| R^2 |
0 |
0 |
| Calmar |
0.85 |
0.37 |
| Treynor |
3291.94 |
- |