| Metric |
Strategy |
SPX |
|---|
| Trade Count |
3 |
1 |
| Win/Loss rate |
3 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
3 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
90.67 |
360 |
| Cumulative Return |
43.6% |
29.93% |
| CAGR |
44.32% |
30.41% |
| Max Drawdown |
-9.01% |
-5.43% |
| Sharpe |
2.15 |
2.07 |
| Alpha |
0.02 |
- |
| Beta |
1.31 |
- |
| Kelly Criterion |
18.23 |
16.88 |
| Profit Factor |
1.46 |
1.42 |
| Probabilistic Sharpe |
98.01% |
97.69% |
| Smart Sharpe |
1.83 |
1.76 |
| Annual Volatility |
17.66% |
13.12% |
| Omega |
1.46 |
- |
| Information ratio |
0.12 |
- |
| Avg Drawdown |
-1.67% |
-1.25% |
| Avg Drawdown Days |
7 |
8 |
| Avg Up Month |
4.43 |
3.18 |
| Avg Down Month |
-3.44% |
-2.48% |
| R^2 |
0.94 |
0.94 |
| Calmar |
4.92 |
5.6 |
| Treynor |
33.33 |
- |