| Metric |
Strategy |
SPX |
|---|
| Trade Count |
157 |
1 |
| Win/Loss rate |
78 / 79 = 0.99 |
- |
| Adjustments |
576 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
18 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
7.7 |
1458 |
| Cumulative Return |
993.29% |
75.43% |
| CAGR |
81.99% |
15.11% |
| Max Drawdown |
-32.14% |
-25.39% |
| Sharpe |
1.65 |
0.92 |
| Alpha |
0.41 |
- |
| Beta |
1.82 |
- |
| Kelly Criterion |
14.14 |
-3.85 |
| Profit Factor |
1.38 |
1.14 |
| Probabilistic Sharpe |
99.91% |
96.68% |
| Smart Sharpe |
1.63 |
0.91 |
| Annual Volatility |
41.75% |
16.75% |
| Omega |
1.38 |
- |
| Information ratio |
0.08 |
- |
| Avg Drawdown |
-2.02% |
-1.12% |
| Avg Drawdown Days |
6 |
12 |
| Avg Up Month |
11.58 |
4.3 |
| Avg Down Month |
-10.03% |
-4.12% |
| R^2 |
0.53 |
0.53 |
| Calmar |
2.55 |
0.6 |
| Treynor |
545.42 |
- |