| Metric |
Strategy |
SPX |
|---|
| Trade Count |
98 |
1 |
| Win/Loss rate |
58 / 40 = 1.45 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
3 |
- |
| Max DIT Reaches |
95 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6.96 |
724 |
| Cumulative Return |
72.19% |
10.74% |
| CAGR |
31.52% |
5.28% |
| Max Drawdown |
-17.66% |
-18.89% |
| Sharpe |
1.32 |
0.49 |
| Alpha |
0.3 |
- |
| Beta |
-0.02 |
- |
| Kelly Criterion |
-21.68 |
-10.75 |
| Profit Factor |
1.39 |
1.09 |
| Probabilistic Sharpe |
94.93% |
75.09% |
| Smart Sharpe |
1.28 |
0.47 |
| Annual Volatility |
22.82% |
12.11% |
| Omega |
1.39 |
- |
| Information ratio |
0.06 |
- |
| Avg Drawdown |
-2.43% |
-1.26% |
| Avg Drawdown Days |
16 |
14 |
| Avg Up Month |
2.68 |
1.74 |
| Avg Down Month |
-3.8% |
-6.57% |
| R^2 |
0 |
0 |
| Calmar |
1.78 |
0.28 |
| Treynor |
-4036.97 |
- |