| Metric |
Strategy |
SPX |
|---|
| Trade Count |
168 |
1 |
| Win/Loss rate |
155 / 13 = 11.92 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
155 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6.71 |
1395 |
| Cumulative Return |
359.1% |
54.71% |
| CAGR |
49% |
12.1% |
| Max Drawdown |
-37.43% |
-32.69% |
| Sharpe |
1.2 |
0.68 |
| Alpha |
0.41 |
- |
| Beta |
0.39 |
- |
| Kelly Criterion |
12.22 |
-7.33 |
| Profit Factor |
1.71 |
1.13 |
| Probabilistic Sharpe |
99.93% |
90.56% |
| Smart Sharpe |
1.19 |
0.67 |
| Annual Volatility |
38.59% |
19.74% |
| Omega |
1.71 |
- |
| Information ratio |
0.05 |
- |
| Avg Drawdown |
-1.74% |
-1.75% |
| Avg Drawdown Days |
8 |
13 |
| Avg Up Month |
4.63 |
4.47 |
| Avg Down Month |
-2.86% |
-8.8% |
| R^2 |
0.04 |
0.04 |
| Calmar |
1.31 |
0.37 |
| Treynor |
927.24 |
- |