| Metric |
Strategy |
SPX |
|---|
| Trade Count |
10 |
1 |
| Win/Loss rate |
9 / 1 = 9 |
- |
| Adjustments |
198 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
10 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.5 |
332 |
| Cumulative Return |
146.57% |
27.76% |
| CAGR |
170.52% |
31.02% |
| Max Drawdown |
-85.03% |
-8.54% |
| Sharpe |
1.2 |
2.22 |
| Alpha |
0.96 |
- |
| Beta |
9.61 |
- |
| Kelly Criterion |
37.49 |
5.08 |
| Profit Factor |
2.12 |
1.47 |
| Probabilistic Sharpe |
96.88% |
98.08% |
| Smart Sharpe |
0.84 |
1.56 |
| Annual Volatility |
300.98% |
12.42% |
| Omega |
2.12 |
- |
| Information ratio |
0.07 |
- |
| Avg Drawdown |
-6.25% |
-1.35% |
| Avg Drawdown Days |
8 |
10 |
| Avg Up Month |
14.73 |
3.35 |
| Avg Down Month |
-11.79% |
-0.62% |
| R^2 |
0.16 |
0.16 |
| Calmar |
2.01 |
3.63 |
| Treynor |
15.24 |
- |