| Metric |
Strategy |
SPX |
|---|
| Trade Count |
31 |
1 |
| Win/Loss rate |
31 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
31 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
33.9 |
360 |
| Cumulative Return |
168.59% |
30.57% |
| CAGR |
172.31% |
31.06% |
| Max Drawdown |
-26.97% |
-5.55% |
| Sharpe |
1.37 |
1.2 |
| Alpha |
0.1 |
- |
| Beta |
2.91 |
- |
| Kelly Criterion |
17.74 |
10.62 |
| Profit Factor |
1.44 |
1.3 |
| Probabilistic Sharpe |
98.94% |
97.93% |
| Smart Sharpe |
1.31 |
1.14 |
| Annual Volatility |
26.73% |
7.69% |
| Omega |
1.44 |
- |
| Information ratio |
0.08 |
- |
| Avg Drawdown |
-1.7% |
-0.67% |
| Avg Drawdown Days |
2 |
3 |
| Avg Up Month |
13.41 |
3.19 |
| Avg Down Month |
-3.58% |
-4.44% |
| R^2 |
0.7 |
0.7 |
| Calmar |
6.39 |
5.6 |
| Treynor |
57.87 |
- |