| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
2 / 9 = 0.22 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
31.45 |
363 |
| Cumulative Return |
-38.69% |
24.92% |
| CAGR |
-38.86% |
25.07% |
| Max Drawdown |
-51.34% |
-8.73% |
| Sharpe |
-1.17 |
1.85 |
| Alpha |
0.15 |
- |
| Beta |
-2.5 |
- |
| Kelly Criterion |
-13.66 |
41.3 |
| Profit Factor |
0.85 |
1.26 |
| Probabilistic Sharpe |
12.72% |
96.28% |
| Smart Sharpe |
-1.16 |
1.84 |
| Annual Volatility |
36.42% |
12.49% |
| Omega |
0.85 |
- |
| Information ratio |
-0.06 |
- |
| Avg Drawdown |
-51.34% |
-1.01% |
| Avg Drawdown Days |
360 |
6 |
| Avg Up Month |
2.59 |
0.99 |
| Avg Down Month |
|
|
| R^2 |
0.74 |
0.74 |
| Calmar |
-0.76 |
2.87 |
| Treynor |
15.45 |
- |