| Metric |
Strategy |
SPX |
|---|
| Trade Count |
37 |
1 |
| Win/Loss rate |
26 / 11 = 2.36 |
- |
| Adjustments |
0 |
- |
| PT Hits |
17 |
- |
| SL Hits |
6 |
- |
| Max DIT Reaches |
17 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.59 |
247 |
| Cumulative Return |
12.34% |
15.84% |
| CAGR |
18.76% |
24.27% |
| Max Drawdown |
-17.71% |
-7.94% |
| Sharpe |
0.71 |
1.8 |
| Alpha |
0.03 |
- |
| Beta |
0.83 |
- |
| Kelly Criterion |
-26.24 |
-3.12 |
| Profit Factor |
1.17 |
1.37 |
| Probabilistic Sharpe |
71.36% |
91.91% |
| Smart Sharpe |
0.67 |
1.71 |
| Annual Volatility |
31.08% |
12.45% |
| Omega |
1.17 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-2.42% |
-1.26% |
| Avg Drawdown Days |
8 |
9 |
| Avg Up Month |
7.36 |
3.78 |
| Avg Down Month |
-3.03% |
-2.65% |
| R^2 |
0.11 |
0.11 |
| Calmar |
1.06 |
3.06 |
| Treynor |
14.82 |
- |