| Metric |
Strategy |
SPX |
|---|
| Trade Count |
41 |
1 |
| Win/Loss rate |
40 / 1 = 40 |
- |
| Adjustments |
457 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
2 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
16.07 |
332 |
| Cumulative Return |
385.09% |
27.34% |
| CAGR |
467.53% |
30.43% |
| Max Drawdown |
-352.14% |
-9.38% |
| Sharpe |
-1.01 |
2.17 |
| Alpha |
-34.15 |
- |
| Beta |
26.31 |
- |
| Kelly Criterion |
-17.01 |
1.13 |
| Profit Factor |
0.77 |
1.06 |
| Probabilistic Sharpe |
10.66% |
97.79% |
| Smart Sharpe |
-0.99 |
2.11 |
| Annual Volatility |
2659.73% |
12.62% |
| Omega |
0.77 |
- |
| Information ratio |
-0.01 |
- |
| Avg Drawdown |
-2.04% |
-0.27% |
| Avg Drawdown Days |
1 |
1 |
| Avg Up Month |
17.72 |
2.92 |
| Avg Down Month |
|
|
| R^2 |
0.02 |
0.02 |
| Calmar |
1.33 |
3.24 |
| Treynor |
14.63 |
- |