| Metric |
Strategy |
SPX |
|---|
| Trade Count |
200 |
1 |
| Win/Loss rate |
167 / 33 = 5.06 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
199 |
- |
| Settlements |
2 |
- |
| Avg Days in Trade |
3.09 |
1458 |
| Cumulative Return |
72.66% |
75.86% |
| CAGR |
14.65% |
15.18% |
| Max Drawdown |
-12.56% |
-27.3% |
| Sharpe |
1.62 |
0.93 |
| Alpha |
0.14 |
- |
| Beta |
0.01 |
- |
| Kelly Criterion |
27.48 |
-53.12 |
| Profit Factor |
2.14 |
1.12 |
| Probabilistic Sharpe |
96.77% |
96.78% |
| Smart Sharpe |
1.62 |
0.93 |
| Annual Volatility |
8.69% |
16.74% |
| Omega |
2.14 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.32% |
-1.27% |
| Avg Drawdown Days |
5 |
13 |
| Avg Up Month |
1.83 |
3.75 |
| Avg Down Month |
-2.16% |
-5.6% |
| R^2 |
0 |
0 |
| Calmar |
1.17 |
0.56 |
| Treynor |
12151.58 |
- |