| Metric |
Strategy |
SPX |
|---|
| Trade Count |
200 |
1 |
| Win/Loss rate |
165 / 35 = 4.71 |
- |
| Adjustments |
884 |
- |
| PT Hits |
159 |
- |
| SL Hits |
9 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
38.4 |
2597 |
| Cumulative Return |
24.67% |
134.44% |
| CAGR |
3.15% |
12.72% |
| Max Drawdown |
-2.81% |
-34.83% |
| Sharpe |
1.12 |
0.73 |
| Alpha |
0.03 |
- |
| Beta |
0.04 |
- |
| Kelly Criterion |
9.33 |
-1.99 |
| Profit Factor |
1.27 |
1.15 |
| Probabilistic Sharpe |
99.85% |
97.31% |
| Smart Sharpe |
1.07 |
0.7 |
| Annual Volatility |
2.83% |
18.96% |
| Omega |
1.27 |
- |
| Information ratio |
-0.04 |
- |
| Avg Drawdown |
-0.31% |
-2.16% |
| Avg Drawdown Days |
14 |
20 |
| Avg Up Month |
0.6 |
3.92 |
| Avg Down Month |
-0.47% |
-6.2% |
| R^2 |
0.06 |
0.06 |
| Calmar |
1.12 |
0.37 |
| Treynor |
674.91 |
- |