| Metric |
Strategy |
SPX |
|---|
| Trade Count |
97 |
1 |
| Win/Loss rate |
76 / 21 = 3.62 |
- |
| Adjustments |
0 |
- |
| PT Hits |
75 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
18 |
- |
| Settlements |
10 |
- |
| Avg Days in Trade |
33.99 |
1458 |
| Cumulative Return |
206.18% |
75.43% |
| CAGR |
32.33% |
15.11% |
| Max Drawdown |
-59.2% |
-25.39% |
| Sharpe |
0.84 |
0.92 |
| Alpha |
0.03 |
- |
| Beta |
2.26 |
- |
| Kelly Criterion |
6.4 |
7.46 |
| Profit Factor |
1.15 |
1.14 |
| Probabilistic Sharpe |
95.46% |
96.68% |
| Smart Sharpe |
0.84 |
0.92 |
| Annual Volatility |
45.94% |
16.76% |
| Omega |
1.15 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-2.65% |
-1.12% |
| Avg Drawdown Days |
14 |
12 |
| Avg Up Month |
12.59 |
4.24 |
| Avg Down Month |
-14.01% |
-4.05% |
| R^2 |
0.68 |
0.68 |
| Calmar |
0.55 |
0.6 |
| Treynor |
91.07 |
- |