| Metric |
Strategy |
SPX |
|---|
| Trade Count |
193 |
1 |
| Win/Loss rate |
157 / 36 = 4.36 |
- |
| Adjustments |
281 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
52 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
38.53 |
1397 |
| Cumulative Return |
60.08% |
43.95% |
| CAGR |
13.08% |
9.99% |
| Max Drawdown |
-4.24% |
-26.7% |
| Sharpe |
2.31 |
0.63 |
| Alpha |
0.12 |
- |
| Beta |
0.04 |
- |
| Kelly Criterion |
11.34 |
2.12 |
| Profit Factor |
1.35 |
1.07 |
| Probabilistic Sharpe |
100% |
89.14% |
| Smart Sharpe |
2.03 |
0.56 |
| Annual Volatility |
5.39% |
17.5% |
| Omega |
1.35 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.3% |
-1.38% |
| Avg Drawdown Days |
6 |
15 |
| Avg Up Month |
1.35 |
3.66 |
| Avg Down Month |
-0.22% |
-0.05% |
| R^2 |
0.02 |
0.02 |
| Calmar |
3.08 |
0.37 |
| Treynor |
1349.8 |
- |