| Metric |
Strategy |
SPX |
|---|
| Trade Count |
22 |
1 |
| Win/Loss rate |
12 / 10 = 1.2 |
- |
| Adjustments |
88 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
3 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
8.59 |
247 |
| Cumulative Return |
-17.16% |
16.39% |
| CAGR |
-24.29% |
25.15% |
| Max Drawdown |
-58.96% |
-8.54% |
| Sharpe |
-0.01 |
1.72 |
| Alpha |
-0.82 |
- |
| Beta |
3.51 |
- |
| Kelly Criterion |
-4.98 |
-7.7 |
| Profit Factor |
1 |
1.37 |
| Probabilistic Sharpe |
49.72% |
90.67% |
| Smart Sharpe |
-0.01 |
1.66 |
| Annual Volatility |
66.44% |
13.53% |
| Omega |
1 |
- |
| Information ratio |
-0.03 |
- |
| Avg Drawdown |
-5.7% |
-1.5% |
| Avg Drawdown Days |
10 |
10 |
| Avg Up Month |
9.05 |
3.58 |
| Avg Down Month |
-13.71% |
-1.82% |
| R^2 |
0.51 |
0.51 |
| Calmar |
-0.41 |
2.95 |
| Treynor |
-4.89 |
- |