| Metric |
Strategy |
SPX |
|---|
| Trade Count |
60 |
1 |
| Win/Loss rate |
30 / 30 = 1 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
14 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
19.13 |
360 |
| Cumulative Return |
34.16% |
25.07% |
| CAGR |
34.71% |
25.46% |
| Max Drawdown |
-30.35% |
-10.13% |
| Sharpe |
0.81 |
1.83 |
| Alpha |
0.88 |
- |
| Beta |
-1.79 |
- |
| Kelly Criterion |
4.76 |
-38.5 |
| Profit Factor |
1.15 |
1.34 |
| Probabilistic Sharpe |
78.58% |
96.63% |
| Smart Sharpe |
0.78 |
1.76 |
| Annual Volatility |
56.49% |
12.8% |
| Omega |
1.15 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-9.32% |
-1.64% |
| Avg Drawdown Days |
27 |
14 |
| Avg Up Month |
24.84 |
1.2 |
| Avg Down Month |
|
|
| R^2 |
0.16 |
0.16 |
| Calmar |
1.14 |
2.51 |
| Treynor |
-19.1 |
- |