| Metric |
Strategy |
SPX |
|---|
| Trade Count |
98 |
1 |
| Win/Loss rate |
75 / 23 = 3.26 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
21 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
308 |
- |
| Avg Days in Trade |
0.62 |
247 |
| Cumulative Return |
-8.02% |
15.86% |
| CAGR |
-11.63% |
24.31% |
| Max Drawdown |
-11.88% |
-9.38% |
| Sharpe |
-0.78 |
1.51 |
| Alpha |
-0.22 |
- |
| Beta |
0.49 |
- |
| Kelly Criterion |
-8.51 |
-11.93 |
| Profit Factor |
0.94 |
1.05 |
| Probabilistic Sharpe |
21.85% |
86.12% |
| Smart Sharpe |
-0.77 |
1.48 |
| Annual Volatility |
14.39% |
15.18% |
| Omega |
0.94 |
- |
| Information ratio |
-0.02 |
- |
| Avg Drawdown |
-0.35% |
-0.29% |
| Avg Drawdown Days |
4 |
1 |
| Avg Up Month |
1.09 |
3.17 |
| Avg Down Month |
-1.4% |
-4.36% |
| R^2 |
0.26 |
0.26 |
| Calmar |
-0.98 |
2.59 |
| Treynor |
-16.54 |
- |