| Metric |
Strategy |
SPX |
|---|
| Trade Count |
263 |
1 |
| Win/Loss rate |
122 / 141 = 0.87 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
102 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
20.59 |
1607 |
| Cumulative Return |
102.4% |
90.08% |
| CAGR |
17.37% |
15.71% |
| Max Drawdown |
-57.85% |
-25.39% |
| Sharpe |
0.58 |
0.95 |
| Alpha |
0.27 |
- |
| Beta |
0.04 |
- |
| Kelly Criterion |
-5.92 |
-22.56 |
| Profit Factor |
1.13 |
1.18 |
| Probabilistic Sharpe |
88.29% |
97.5% |
| Smart Sharpe |
0.56 |
0.91 |
| Annual Volatility |
47.77% |
16.9% |
| Omega |
1.13 |
- |
| Information ratio |
0.01 |
- |
| Avg Drawdown |
-10.62% |
-1.71% |
| Avg Drawdown Days |
44 |
19 |
| Avg Up Month |
7.81 |
4.04 |
| Avg Down Month |
-9.29% |
-3.32% |
| R^2 |
0 |
0 |
| Calmar |
0.3 |
0.62 |
| Treynor |
2413.12 |
- |