| Metric |
Strategy |
SPX |
|---|
| Trade Count |
19 |
1 |
| Win/Loss rate |
8 / 11 = 0.73 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
8 |
- |
| Max DIT Reaches |
12 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
17.84 |
361 |
| Cumulative Return |
-15.56% |
-20.33% |
| CAGR |
-15.72% |
-20.53% |
| Max Drawdown |
-16.01% |
-25.39% |
| Sharpe |
-1.68 |
-0.85 |
| Alpha |
-0.09 |
- |
| Beta |
0.39 |
- |
| Kelly Criterion |
-13.74 |
-9.3 |
| Profit Factor |
0.75 |
0.87 |
| Probabilistic Sharpe |
4.71% |
19.95% |
| Smart Sharpe |
-1.54 |
-0.78 |
| Annual Volatility |
9.88% |
23.72% |
| Omega |
0.75 |
- |
| Information ratio |
0.01 |
- |
| Avg Drawdown |
-16.01% |
-25.39% |
| Avg Drawdown Days |
360 |
360 |
| Avg Up Month |
2.03 |
5.83 |
| Avg Down Month |
-3.06% |
-5.48% |
| R^2 |
0.86 |
0.86 |
| Calmar |
-0.98 |
-0.81 |
| Treynor |
-40.36 |
- |