| Metric |
Strategy |
SPX |
|---|
| Trade Count |
38 |
1 |
| Win/Loss rate |
22 / 16 = 1.38 |
- |
| Adjustments |
129 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
8.11 |
361 |
| Cumulative Return |
-21.89% |
-20.33% |
| CAGR |
-22.11% |
-20.53% |
| Max Drawdown |
-101.02% |
-25.39% |
| Sharpe |
0.9 |
-0.85 |
| Alpha |
5.74 |
- |
| Beta |
-7.25 |
- |
| Kelly Criterion |
-20.67 |
-30.8 |
| Profit Factor |
1.4 |
0.87 |
| Probabilistic Sharpe |
82.72% |
19.9% |
| Smart Sharpe |
0.86 |
-0.81 |
| Annual Volatility |
798.74% |
23.62% |
| Omega |
1.4 |
- |
| Information ratio |
0.06 |
- |
| Avg Drawdown |
-14.68% |
-25.39% |
| Avg Drawdown Days |
34 |
360 |
| Avg Up Month |
12.2 |
4.44 |
| Avg Down Month |
-46.1% |
-4.72% |
| R^2 |
0.05 |
0.05 |
| Calmar |
-0.22 |
-0.81 |
| Treynor |
3.02 |
- |