| Metric |
Strategy |
SPX |
|---|
| Trade Count |
321 |
1 |
| Win/Loss rate |
307 / 14 = 21.93 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
254 |
- |
| Settlements |
61 |
- |
| Avg Days in Trade |
2.94 |
4377 |
| Cumulative Return |
291.97% |
274.32% |
| CAGR |
12.07% |
11.64% |
| Max Drawdown |
-8.26% |
-33.47% |
| Sharpe |
1.88 |
0.78 |
| Alpha |
0.1 |
- |
| Beta |
0.13 |
- |
| Kelly Criterion |
28.9 |
-6.44 |
| Profit Factor |
1.83 |
1.11 |
| Probabilistic Sharpe |
100% |
99.62% |
| Smart Sharpe |
1.67 |
0.7 |
| Annual Volatility |
6.16% |
15.64% |
| Omega |
1.83 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.3% |
-1.33% |
| Avg Drawdown Days |
3 |
13 |
| Avg Up Month |
1.24 |
3.27 |
| Avg Down Month |
-2.57% |
-5.92% |
| R^2 |
0.11 |
0.11 |
| Calmar |
1.46 |
0.35 |
| Treynor |
2199.73 |
- |