| Metric |
Strategy |
SPX |
|---|
| Trade Count |
243 |
1 |
| Win/Loss rate |
193 / 50 = 3.86 |
- |
| Adjustments |
0 |
- |
| PT Hits |
188 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
49 |
- |
| Settlements |
14 |
- |
| Avg Days in Trade |
35.72 |
3649 |
| Cumulative Return |
488.63% |
162.42% |
| CAGR |
19.4% |
10.13% |
| Max Drawdown |
-30.55% |
-34.83% |
| Sharpe |
1.06 |
0.67 |
| Alpha |
0.12 |
- |
| Beta |
0.71 |
- |
| Kelly Criterion |
10.13 |
5.8 |
| Profit Factor |
1.26 |
1.14 |
| Probabilistic Sharpe |
99.95% |
98.2% |
| Smart Sharpe |
1.01 |
0.64 |
| Annual Volatility |
18.35% |
16.4% |
| Omega |
1.26 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-1.99% |
-1.66% |
| Avg Drawdown Days |
17 |
17 |
| Avg Up Month |
4.91 |
3.44 |
| Avg Down Month |
-5.15% |
-4.52% |
| R^2 |
0.4 |
0.4 |
| Calmar |
0.63 |
0.29 |
| Treynor |
688.31 |
- |