| Metric |
Strategy |
SPX |
|---|
| Trade Count |
640 |
1 |
| Win/Loss rate |
357 / 283 = 1.26 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
19.8 |
4014 |
| Cumulative Return |
632.38% |
198.05% |
| CAGR |
19.85% |
10.44% |
| Max Drawdown |
-33.86% |
-32.79% |
| Sharpe |
1.16 |
0.71 |
| Alpha |
0.2 |
- |
| Beta |
-0.05 |
- |
| Kelly Criterion |
2.05 |
-23.18 |
| Profit Factor |
1.31 |
1.14 |
| Probabilistic Sharpe |
100% |
99.01% |
| Smart Sharpe |
1.09 |
0.67 |
| Annual Volatility |
16.79% |
15.68% |
| Omega |
1.31 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-1.96% |
-1.68% |
| Avg Drawdown Days |
23 |
17 |
| Avg Up Month |
2.52 |
3.02 |
| Avg Down Month |
-3.06% |
-4.69% |
| R^2 |
0 |
0 |
| Calmar |
0.59 |
0.32 |
| Treynor |
-12785.37 |
- |