| Metric |
Strategy |
SPX |
|---|
| Trade Count |
88 |
1 |
| Win/Loss rate |
73 / 15 = 4.87 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
30 |
- |
| Avg Days in Trade |
29.19 |
2703 |
| Cumulative Return |
126.06% |
110.87% |
| CAGR |
11.64% |
10.6% |
| Max Drawdown |
-32.73% |
-34.83% |
| Sharpe |
0.6 |
0.66 |
| Alpha |
0.01 |
- |
| Beta |
1.04 |
- |
| Kelly Criterion |
4.44 |
7.55 |
| Profit Factor |
1.13 |
1.13 |
| Probabilistic Sharpe |
94.91% |
96.17% |
| Smart Sharpe |
0.58 |
0.63 |
| Annual Volatility |
22.67% |
17.75% |
| Omega |
1.13 |
- |
| Information ratio |
0.01 |
- |
| Avg Drawdown |
-1.95% |
-1.8% |
| Avg Drawdown Days |
16 |
19 |
| Avg Up Month |
4.82 |
3.71 |
| Avg Down Month |
-7.47% |
-5.53% |
| R^2 |
0.66 |
0.66 |
| Calmar |
0.36 |
0.3 |
| Treynor |
121.42 |
- |