| Metric |
Strategy |
SPX |
|---|
| Trade Count |
259 |
1 |
| Win/Loss rate |
124 / 135 = 0.92 |
- |
| Adjustments |
95 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
115 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
20.86 |
1607 |
| Cumulative Return |
-259.13% |
90.08% |
| CAGR |
11.13% |
15.71% |
| Max Drawdown |
-346.93% |
-25.39% |
| Sharpe |
-0.49 |
0.95 |
| Alpha |
-4.99 |
- |
| Beta |
2.57 |
- |
| Kelly Criterion |
-43.59 |
-11 |
| Profit Factor |
0.77 |
1.18 |
| Probabilistic Sharpe |
13.03% |
97.5% |
| Smart Sharpe |
-0.45 |
0.88 |
| Annual Volatility |
939.4% |
16.9% |
| Omega |
0.77 |
- |
| Information ratio |
-0.03 |
- |
| Avg Drawdown |
-116.11% |
-1.71% |
| Avg Drawdown Days |
533 |
19 |
| Avg Up Month |
113.6 |
3.81 |
| Avg Down Month |
-31.29% |
-3.59% |
| R^2 |
0 |
0 |
| Calmar |
0.03 |
0.62 |
| Treynor |
-100.85 |
- |