| Metric |
Strategy |
SPX |
|---|
| Trade Count |
193 |
1 |
| Win/Loss rate |
149 / 44 = 3.39 |
- |
| Adjustments |
139 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
63 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
38.62 |
1397 |
| Cumulative Return |
55.49% |
43.95% |
| CAGR |
12.22% |
9.99% |
| Max Drawdown |
-4.17% |
-26.7% |
| Sharpe |
2.17 |
0.63 |
| Alpha |
0.12 |
- |
| Beta |
-0.01 |
- |
| Kelly Criterion |
10.74 |
2.94 |
| Profit Factor |
1.31 |
1.07 |
| Probabilistic Sharpe |
100% |
89.14% |
| Smart Sharpe |
1.99 |
0.58 |
| Annual Volatility |
5.37% |
17.5% |
| Omega |
1.31 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.46% |
-1.38% |
| Avg Drawdown Days |
8 |
15 |
| Avg Up Month |
1.13 |
3.51 |
| Avg Down Month |
|
|
| R^2 |
0 |
0 |
| Calmar |
2.93 |
0.37 |
| Treynor |
-6351.85 |
- |