| Metric |
Strategy |
SPX |
|---|
| Trade Count |
39 |
1 |
| Win/Loss rate |
39 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
39 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
34.74 |
360 |
| Cumulative Return |
1157.59% |
27.76% |
| CAGR |
1202.6% |
28.2% |
| Max Drawdown |
-53.54% |
-4.88% |
| Sharpe |
2.9 |
2.05 |
| Alpha |
1.56 |
- |
| Beta |
6.08 |
- |
| Kelly Criterion |
29.93 |
11.62 |
| Profit Factor |
1.92 |
1.41 |
| Probabilistic Sharpe |
99.91% |
97.63% |
| Smart Sharpe |
2.48 |
1.75 |
| Annual Volatility |
107.26% |
12.43% |
| Omega |
1.92 |
- |
| Information ratio |
0.18 |
- |
| Avg Drawdown |
-6.61% |
-1.37% |
| Avg Drawdown Days |
4 |
8 |
| Avg Up Month |
37.38 |
3.36 |
| Avg Down Month |
-6.76% |
-4.64% |
| R^2 |
0.5 |
0.5 |
| Calmar |
22.46 |
5.77 |
| Treynor |
190.47 |
- |