| Metric |
Strategy |
SPX |
|---|
| Trade Count |
322 |
1 |
| Win/Loss rate |
274 / 48 = 5.71 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
321 |
- |
| Settlements |
1 |
- |
| Avg Days in Trade |
3.08 |
2342 |
| Cumulative Return |
195.58% |
76.3% |
| CAGR |
18.4% |
9.24% |
| Max Drawdown |
-31.99% |
-33.71% |
| Sharpe |
1.16 |
0.54 |
| Alpha |
0.13 |
- |
| Beta |
0.21 |
- |
| Kelly Criterion |
4.69 |
-3.91 |
| Profit Factor |
1.93 |
1.11 |
| Probabilistic Sharpe |
98.02% |
92.98% |
| Smart Sharpe |
1.15 |
0.53 |
| Annual Volatility |
12.92% |
16.17% |
| Omega |
1.93 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-0.56% |
-1.73% |
| Avg Drawdown Days |
7 |
17 |
| Avg Up Month |
2.69 |
3.27 |
| Avg Down Month |
-4.82% |
-5.94% |
| R^2 |
0.07 |
0.07 |
| Calmar |
0.58 |
0.27 |
| Treynor |
952.3 |
- |