| Metric |
Strategy |
SPX |
|---|
| Trade Count |
3 |
1 |
| Win/Loss rate |
3 / 0 |
- |
| Adjustments |
4 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
3 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
90.67 |
360 |
| Cumulative Return |
64.15% |
29.93% |
| CAGR |
65.29% |
30.41% |
| Max Drawdown |
-13.35% |
-5.43% |
| Sharpe |
1.88 |
2.07 |
| Alpha |
0.1 |
- |
| Beta |
1.6 |
- |
| Kelly Criterion |
15.01 |
6.63 |
| Profit Factor |
1.49 |
1.42 |
| Probabilistic Sharpe |
95.92% |
97.69% |
| Smart Sharpe |
1.52 |
1.68 |
| Annual Volatility |
28.76% |
13.12% |
| Omega |
1.49 |
- |
| Information ratio |
0.08 |
- |
| Avg Drawdown |
-2.6% |
-1.25% |
| Avg Drawdown Days |
7 |
8 |
| Avg Up Month |
7.2 |
3.28 |
| Avg Down Month |
-7.07% |
-1.34% |
| R^2 |
0.53 |
0.53 |
| Calmar |
4.89 |
5.6 |
| Treynor |
40.02 |
- |