| Metric |
Strategy |
GLD |
|---|
| Trade Count |
8 |
1 |
| Win/Loss rate |
0 / 8 = 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
32 |
- |
| Avg Days in Trade |
19.65 |
301 |
| Cumulative Return |
-1.69% |
8.95% |
| CAGR |
-2.05% |
10.96% |
| Max Drawdown |
-1.74% |
-11.63% |
| Sharpe |
-2.08 |
0.91 |
| Alpha |
-0.02 |
- |
| Beta |
-0.02 |
- |
| Kelly Criterion |
-29.95 |
1.05 |
| Profit Factor |
0.61 |
1.17 |
| Probabilistic Sharpe |
3.74% |
79.59% |
| Smart Sharpe |
-1.34 |
0.58 |
| Annual Volatility |
0.99% |
12.17% |
| Omega |
0.61 |
- |
| Information ratio |
-0.07 |
- |
| Avg Drawdown |
-0.76% |
-2.82% |
| Avg Drawdown Days |
98 |
28 |
| Avg Up Month |
|
|
| Avg Down Month |
-0.17% |
-2.79% |
| R^2 |
0.05 |
0.05 |
| Calmar |
-1.17 |
0.94 |
| Treynor |
93.13 |
- |