| 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 |
144.18% |
-19.9% |
| CAGR |
146.61% |
-20.1% |
| Max Drawdown |
-62.97% |
-26.7% |
| Sharpe |
1.3 |
-0.8 |
| Alpha |
2.81 |
- |
| Beta |
4.09 |
- |
| Kelly Criterion |
23.87 |
-17.01 |
| Profit Factor |
1.42 |
0.88 |
| Probabilistic Sharpe |
92.04% |
21.25% |
| Smart Sharpe |
1.14 |
-0.7 |
| Annual Volatility |
155.16% |
24.24% |
| Omega |
1.42 |
- |
| Information ratio |
0.1 |
- |
| Avg Drawdown |
-9.7% |
-26.7% |
| Avg Drawdown Days |
10 |
360 |
| Avg Up Month |
30.76 |
5.16 |
| Avg Down Month |
-10.85% |
-6.32% |
| R^2 |
0.41 |
0.41 |
| Calmar |
2.33 |
-0.75 |
| Treynor |
35.22 |
- |