| Metric |
Strategy |
SPX |
|---|
| Trade Count |
10 |
1 |
| Win/Loss rate |
9 / 1 = 9 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
10 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.5 |
332 |
| Cumulative Return |
287.74% |
27.76% |
| CAGR |
345.66% |
31.02% |
| Max Drawdown |
-80.56% |
-8.54% |
| Sharpe |
1.53 |
2.22 |
| Alpha |
0.57 |
- |
| Beta |
9.81 |
- |
| Kelly Criterion |
29.33 |
9.78 |
| Profit Factor |
1.82 |
1.47 |
| Probabilistic Sharpe |
97.76% |
98.08% |
| Smart Sharpe |
1.01 |
1.47 |
| Annual Volatility |
213.38% |
12.42% |
| Omega |
1.82 |
- |
| Information ratio |
0.09 |
- |
| Avg Drawdown |
-7.59% |
-1.35% |
| Avg Drawdown Days |
8 |
10 |
| Avg Up Month |
23.69 |
3.35 |
| Avg Down Month |
-9.79% |
-1.82% |
| R^2 |
0.33 |
0.33 |
| Calmar |
4.29 |
3.63 |
| Treynor |
29.33 |
- |