| Metric |
Strategy |
SPX |
|---|
| Trade Count |
231 |
1 |
| Win/Loss rate |
219 / 12 = 18.25 |
- |
| Adjustments |
56 |
- |
| PT Hits |
184 |
- |
| SL Hits |
6 |
- |
| Max DIT Reaches |
18 |
- |
| Settlements |
46 |
- |
| Avg Days in Trade |
34.76 |
2660 |
| Cumulative Return |
636.92% |
121.36% |
| CAGR |
31.53% |
11.52% |
| Max Drawdown |
-29.7% |
-34.83% |
| Sharpe |
1.14 |
0.52 |
| Alpha |
0.11 |
- |
| Beta |
0.57 |
- |
| Kelly Criterion |
14.5 |
0.19 |
| Profit Factor |
1.3 |
1.1 |
| Probabilistic Sharpe |
100% |
97.48% |
| Smart Sharpe |
1.14 |
0.52 |
| Annual Volatility |
12.72% |
11.97% |
| Omega |
1.3 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-1.05% |
-1.4% |
| Avg Drawdown Days |
6 |
13 |
| Avg Up Month |
3.58 |
3.46 |
| Avg Down Month |
-3.72% |
-4.6% |
| R^2 |
0.29 |
0.29 |
| Calmar |
1.06 |
0.33 |
| Treynor |
1108.45 |
- |