| Metric |
Strategy |
SPX |
|---|
| Trade Count |
38 |
1 |
| Win/Loss rate |
22 / 16 = 1.38 |
- |
| Adjustments |
521 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
13 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
21.37 |
239 |
| Cumulative Return |
33.87% |
18.21% |
| CAGR |
56.13% |
29.1% |
| Max Drawdown |
-30.32% |
-7.26% |
| Sharpe |
1.03 |
1.99 |
| Alpha |
1.16 |
- |
| Beta |
-1.95 |
- |
| Kelly Criterion |
3.3 |
-33.88 |
| Profit Factor |
1.19 |
1.37 |
| Probabilistic Sharpe |
79.1% |
94.84% |
| Smart Sharpe |
1 |
1.95 |
| Annual Volatility |
62.63% |
13.19% |
| Omega |
1.19 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-9.23% |
-1.5% |
| Avg Drawdown Days |
31 |
11 |
| Avg Up Month |
24.86 |
1.19 |
| Avg Down Month |
|
|
| R^2 |
0.17 |
0.17 |
| Calmar |
1.85 |
4.01 |
| Treynor |
-17.33 |
- |