| Metric |
Strategy |
SPX |
|---|
| Trade Count |
7 |
1 |
| Win/Loss rate |
6 / 1 = 6 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
7 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.43 |
247 |
| Cumulative Return |
14.93% |
16.39% |
| CAGR |
22.83% |
25.15% |
| Max Drawdown |
-38.88% |
-8.54% |
| Sharpe |
0.64 |
1.72 |
| Alpha |
-0.25 |
- |
| Beta |
2.74 |
- |
| Kelly Criterion |
23.5 |
1.88 |
| Profit Factor |
1.31 |
1.37 |
| Probabilistic Sharpe |
70.39% |
90.67% |
| Smart Sharpe |
0.41 |
1.1 |
| Annual Volatility |
60.8% |
13.53% |
| Omega |
1.31 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-2.16% |
-1.5% |
| Avg Drawdown Days |
5 |
10 |
| Avg Up Month |
3.93 |
3.58 |
| Avg Down Month |
-3.67% |
-0.62% |
| R^2 |
0.37 |
0.37 |
| Calmar |
0.59 |
2.95 |
| Treynor |
5.45 |
- |