| Metric |
Strategy |
SPX |
|---|
| Trade Count |
47 |
1 |
| Win/Loss rate |
20 / 27 = 0.74 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
32 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
26.02 |
360 |
| Cumulative Return |
-28.28% |
29.93% |
| CAGR |
-28.61% |
30.41% |
| Max Drawdown |
-67.24% |
-5.43% |
| Sharpe |
0.04 |
2.08 |
| Alpha |
-0.54 |
- |
| Beta |
2.11 |
- |
| Kelly Criterion |
-18.8 |
-1.24 |
| Profit Factor |
1.01 |
1.43 |
| Probabilistic Sharpe |
51.46% |
97.69% |
| Smart Sharpe |
0.03 |
1.77 |
| Annual Volatility |
84.03% |
13.14% |
| Omega |
1.01 |
- |
| Information ratio |
-0.02 |
- |
| Avg Drawdown |
-13.86% |
-1.25% |
| Avg Drawdown Days |
37 |
8 |
| Avg Up Month |
16.65 |
2.96 |
| Avg Down Month |
-34.69% |
-1.34% |
| R^2 |
0.11 |
0.11 |
| Calmar |
-0.43 |
5.6 |
| Treynor |
-13.43 |
- |