| Metric |
Strategy |
SPX |
|---|
| Trade Count |
29 |
1 |
| Win/Loss rate |
0 / 29 = 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
29 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
1 |
360 |
| Cumulative Return |
-20.96% |
27.2% |
| CAGR |
-21.22% |
27.63% |
| Max Drawdown |
-23.82% |
-5.78% |
| Sharpe |
-0.09 |
0.23 |
| Alpha |
0 |
- |
| Beta |
0.09 |
- |
| Kelly Criterion |
-3.15 |
-23.55 |
| Profit Factor |
0.95 |
1.05 |
| Probabilistic Sharpe |
18.6% |
97.5% |
| Smart Sharpe |
-0.09 |
0.22 |
| Annual Volatility |
2.84% |
1.44% |
| Omega |
0.95 |
- |
| Information ratio |
-0.01 |
- |
| Avg Drawdown |
-23.82% |
-0.27% |
| Avg Drawdown Days |
360 |
1 |
| Avg Up Month |
4.4 |
2.05 |
| Avg Down Month |
-9.09% |
-0.18% |
| R^2 |
0 |
0 |
| Calmar |
-0.89 |
4.78 |
| Treynor |
-236.73 |
- |