| Metric |
Strategy |
SPX |
|---|
| Trade Count |
42 |
1 |
| Win/Loss rate |
32 / 10 = 3.2 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
42 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
3 |
361 |
| Cumulative Return |
12.08% |
-20.12% |
| CAGR |
12.22% |
-20.32% |
| Max Drawdown |
-30.47% |
-23.24% |
| Sharpe |
0.84 |
-1.54 |
| Alpha |
0.72 |
- |
| Beta |
0.4 |
- |
| Kelly Criterion |
0.21 |
-136.13 |
| Profit Factor |
1.26 |
0.76 |
| Probabilistic Sharpe |
67.63% |
17.84% |
| Smart Sharpe |
0.83 |
-1.54 |
| Annual Volatility |
60.71% |
34.49% |
| Omega |
1.26 |
- |
| Information ratio |
0.1 |
- |
| Avg Drawdown |
-9.31% |
-23.24% |
| Avg Drawdown Days |
68 |
357 |
| Avg Up Month |
10.36 |
5.66 |
| Avg Down Month |
-10.27% |
-6.51% |
| R^2 |
0.05 |
0.05 |
| Calmar |
0.4 |
-0.87 |
| Treynor |
30.32 |
- |