| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
9 / 2 = 4.5 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.55 |
361 |
| Cumulative Return |
79.47% |
-20.33% |
| CAGR |
80.64% |
-20.53% |
| Max Drawdown |
-100.32% |
-25.39% |
| Sharpe |
-0.75 |
-0.85 |
| Alpha |
-28.7 |
- |
| Beta |
3.84 |
- |
| Kelly Criterion |
36.22 |
-17.51 |
| Profit Factor |
0.36 |
0.87 |
| Probabilistic Sharpe |
12.82% |
19.9% |
| Smart Sharpe |
-0.73 |
-0.82 |
| Annual Volatility |
3910.52% |
23.62% |
| Omega |
0.36 |
- |
| Information ratio |
-0.05 |
- |
| Avg Drawdown |
-13.27% |
-25.39% |
| Avg Drawdown Days |
18 |
360 |
| Avg Up Month |
25.32 |
5.83 |
| Avg Down Month |
-19.04% |
-4.64% |
| R^2 |
0 |
0 |
| Calmar |
0.8 |
-0.81 |
| Treynor |
20.68 |
- |