| Metric |
Strategy |
SPX |
|---|
| Trade Count |
195 |
1 |
| Win/Loss rate |
157 / 38 = 4.13 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
780 |
- |
| Avg Days in Trade |
0.6 |
700 |
| Cumulative Return |
-4.87% |
44.16% |
| CAGR |
-2.57% |
21.01% |
| Max Drawdown |
-7.78% |
-18.96% |
| Sharpe |
-0.77 |
1.26 |
| Alpha |
-0.03 |
- |
| Beta |
0.01 |
- |
| Kelly Criterion |
-45.47 |
-25.72 |
| Profit Factor |
0.82 |
1.28 |
| Probabilistic Sharpe |
12.96% |
96.23% |
| Smart Sharpe |
-0.73 |
1.2 |
| Annual Volatility |
3.3% |
16.2% |
| Omega |
0.82 |
- |
| Information ratio |
-0.09 |
- |
| Avg Drawdown |
-3.89% |
-1.61% |
| Avg Drawdown Days |
344 |
12 |
| Avg Up Month |
0.68 |
3.46 |
| Avg Down Month |
-1.28% |
-2.15% |
| R^2 |
0 |
0 |
| Calmar |
-0.33 |
1.11 |
| Treynor |
-740.55 |
- |