| Metric |
Strategy |
SPX |
|---|
| Trade Count |
564 |
1 |
| Win/Loss rate |
451 / 113 = 3.99 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
110 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
1816 |
- |
| Avg Days in Trade |
0.62 |
1458 |
| Cumulative Return |
69.29% |
75.86% |
| CAGR |
14.09% |
15.18% |
| Max Drawdown |
-25.7% |
-27.37% |
| Sharpe |
0.75 |
0.95 |
| Alpha |
0.14 |
- |
| Beta |
0.06 |
- |
| Kelly Criterion |
1.22 |
-3.97 |
| Profit Factor |
1.04 |
1.02 |
| Probabilistic Sharpe |
92.45% |
97.16% |
| Smart Sharpe |
0.72 |
0.91 |
| Annual Volatility |
20.31% |
16.21% |
| Omega |
1.04 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.28% |
-0.33% |
| Avg Drawdown Days |
2 |
2 |
| Avg Up Month |
4.04 |
4.31 |
| Avg Down Month |
-5.15% |
-2.76% |
| R^2 |
0 |
0 |
| Calmar |
0.55 |
0.55 |
| Treynor |
1219.85 |
- |