| Metric |
Strategy |
SPX |
|---|
| Trade Count |
96 |
1 |
| Win/Loss rate |
61 / 35 = 1.74 |
- |
| Adjustments |
89 |
- |
| PT Hits |
0 |
- |
| SL Hits |
1 |
- |
| Max DIT Reaches |
60 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
8.94 |
361 |
| Cumulative Return |
-260.5% |
-20.33% |
| CAGR |
61.34% |
-20.53% |
| Max Drawdown |
-331.94% |
-25.39% |
| Sharpe |
-1.13 |
-0.85 |
| Alpha |
-6.16 |
- |
| Beta |
3 |
- |
| Kelly Criterion |
-146.91 |
6.77 |
| Profit Factor |
0.33 |
0.87 |
| Probabilistic Sharpe |
0.7% |
19.98% |
| Smart Sharpe |
-1.11 |
-0.83 |
| Annual Volatility |
598.14% |
23.78% |
| Omega |
0.33 |
- |
| Information ratio |
-0.07 |
- |
| Avg Drawdown |
-93.37% |
-25.39% |
| Avg Drawdown Days |
86 |
360 |
| Avg Up Month |
|
|
| Avg Down Month |
-14.17% |
-4.96% |
| R^2 |
0.01 |
0.01 |
| Calmar |
0.18 |
-0.81 |
| Treynor |
-86.73 |
- |