| Metric |
Strategy |
SPX |
|---|
| Trade Count |
66 |
1 |
| Win/Loss rate |
64 / 2 = 32 |
- |
| Adjustments |
30 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
3.88 |
360 |
| Cumulative Return |
153.81% |
29.93% |
| CAGR |
157.12% |
30.41% |
| Max Drawdown |
-25.25% |
-5.43% |
| Sharpe |
1.89 |
2.07 |
| Alpha |
0.22 |
- |
| Beta |
3.27 |
- |
| Kelly Criterion |
6.04 |
17.76 |
| Profit Factor |
1.59 |
1.42 |
| Probabilistic Sharpe |
96.52% |
97.69% |
| Smart Sharpe |
1.46 |
1.61 |
| Annual Volatility |
58.94% |
13.12% |
| Omega |
1.59 |
- |
| Information ratio |
0.11 |
- |
| Avg Drawdown |
-2.23% |
-1.25% |
| Avg Drawdown Days |
4 |
8 |
| Avg Up Month |
14.31 |
3.28 |
| Avg Down Month |
-11.35% |
-1.34% |
| R^2 |
0.53 |
0.53 |
| Calmar |
6.22 |
5.6 |
| Treynor |
47.01 |
- |