| Metric |
Strategy |
SPX |
|---|
| Trade Count |
17 |
1 |
| Win/Loss rate |
13 / 4 = 3.25 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
2 |
- |
| Max DIT Reaches |
16 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
19.71 |
363 |
| Cumulative Return |
15.92% |
25.25% |
| CAGR |
16.02% |
25.4% |
| Max Drawdown |
-4.33% |
-8.54% |
| Sharpe |
2.11 |
1.89 |
| Alpha |
0.03 |
- |
| Beta |
0.53 |
- |
| Kelly Criterion |
15.99 |
14.49 |
| Profit Factor |
1.46 |
1.39 |
| Probabilistic Sharpe |
98.02% |
96.77% |
| Smart Sharpe |
2.03 |
1.82 |
| Annual Volatility |
7.16% |
12.36% |
| Omega |
1.46 |
- |
| Information ratio |
-0.08 |
- |
| Avg Drawdown |
-0.72% |
-1.31% |
| Avg Drawdown Days |
8 |
9 |
| Avg Up Month |
2.19 |
3.22 |
| Avg Down Month |
-2.68% |
-2.61% |
| R^2 |
0.83 |
0.83 |
| Calmar |
3.7 |
2.98 |
| Treynor |
30.21 |
- |