| Metric |
Strategy |
SPX |
|---|
| Trade Count |
0 |
1 |
| Win/Loss rate |
0 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
0 |
361 |
| Cumulative Return |
13.05% |
-19.9% |
| CAGR |
13.2% |
-20.1% |
| Max Drawdown |
-3.59% |
-26.7% |
| Sharpe |
1.51 |
-0.8 |
| Alpha |
0.17 |
- |
| Beta |
0.22 |
- |
| Kelly Criterion |
20.1 |
-19.04 |
| Profit Factor |
1.37 |
0.88 |
| Probabilistic Sharpe |
93.27% |
21.33% |
| Smart Sharpe |
1.22 |
-0.64 |
| Annual Volatility |
8.42% |
24.37% |
| Omega |
1.37 |
- |
| Information ratio |
0.1 |
- |
| Avg Drawdown |
-0.74% |
-26.7% |
| Avg Drawdown Days |
8 |
360 |
| Avg Up Month |
2.68 |
5.16 |
| Avg Down Month |
-1.44% |
-5.71% |
| R^2 |
0.42 |
0.42 |
| Calmar |
3.68 |
-0.75 |
| Treynor |
58.55 |
- |