| Metric |
Strategy |
SPX |
|---|
| Trade Count |
56 |
1 |
| Win/Loss rate |
31 / 25 = 1.24 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.05 |
361 |
| Cumulative Return |
98.2% |
-20.33% |
| CAGR |
99.71% |
-20.53% |
| Max Drawdown |
-40.23% |
-25.39% |
| Sharpe |
1.21 |
-0.85 |
| Alpha |
1.3 |
- |
| Beta |
0.82 |
- |
| Kelly Criterion |
3.81 |
-30.7 |
| Profit Factor |
1.26 |
0.87 |
| Probabilistic Sharpe |
88.11% |
19.89% |
| Smart Sharpe |
1.13 |
-0.79 |
| Annual Volatility |
93.71% |
23.62% |
| Omega |
1.26 |
- |
| Information ratio |
0.09 |
- |
| Avg Drawdown |
-14.37% |
-25.39% |
| Avg Drawdown Days |
23 |
360 |
| Avg Up Month |
27.68 |
5.46 |
| Avg Down Month |
-15.94% |
-7.13% |
| R^2 |
0.04 |
0.04 |
| Calmar |
2.48 |
-0.81 |
| Treynor |
119.06 |
- |