| Metric |
Strategy |
SPX |
|---|
| Trade Count |
292 |
1 |
| Win/Loss rate |
274 / 18 = 15.22 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
284 |
- |
| Settlements |
8 |
- |
| Avg Days in Trade |
4.73 |
2342 |
| Cumulative Return |
368.05% |
76.3% |
| CAGR |
27.19% |
9.24% |
| Max Drawdown |
-122.08% |
-34.44% |
| Sharpe |
0.41 |
0.53 |
| Alpha |
1.36 |
- |
| Beta |
4.26 |
- |
| Kelly Criterion |
33.75 |
-14.53 |
| Profit Factor |
1.82 |
1.11 |
| Probabilistic Sharpe |
97.96% |
92.63% |
| Smart Sharpe |
0.38 |
0.5 |
| Annual Volatility |
426.48% |
16.67% |
| Omega |
1.82 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-1.48% |
-1.71% |
| Avg Drawdown Days |
11 |
17 |
| Avg Up Month |
11.54 |
3.98 |
| Avg Down Month |
-45.83% |
-6.87% |
| R^2 |
0.03 |
0.03 |
| Calmar |
0.22 |
0.27 |
| Treynor |
86.33 |
- |