| Metric |
Strategy |
SPX |
|---|
| Trade Count |
43 |
1 |
| Win/Loss rate |
8 / 35 = 0.23 |
- |
| Adjustments |
13 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
20 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
23.4 |
297 |
| Cumulative Return |
-162.85% |
22.99% |
| CAGR |
-43.48% |
28.96% |
| Max Drawdown |
-163.41% |
-8.54% |
| Sharpe |
-0.44 |
2.11 |
| Alpha |
-3.14 |
- |
| Beta |
-7.37 |
- |
| Kelly Criterion |
18.55 |
9.89 |
| Profit Factor |
0.81 |
1.44 |
| Probabilistic Sharpe |
32.5% |
96.8% |
| Smart Sharpe |
-0.41 |
1.96 |
| Annual Volatility |
1148.3% |
12.32% |
| Omega |
0.81 |
- |
| Information ratio |
-0.03 |
- |
| Avg Drawdown |
-55.3% |
-1.31% |
| Avg Drawdown Days |
96 |
9 |
| Avg Up Month |
74.15 |
2.43 |
| Avg Down Month |
-164.56% |
-1.82% |
| R^2 |
0.01 |
0.01 |
| Calmar |
-0.27 |
3.39 |
| Treynor |
22.09 |
- |