| Metric |
Strategy |
SPX |
|---|
| Trade Count |
111 |
1 |
| Win/Loss rate |
105 / 6 = 17.5 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
109 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
4.59 |
1458 |
| Cumulative Return |
197.53% |
75.9% |
| CAGR |
31.39% |
15.19% |
| Max Drawdown |
-16.77% |
-27.16% |
| Sharpe |
1.85 |
0.93 |
| Alpha |
0.24 |
- |
| Beta |
0.31 |
- |
| Kelly Criterion |
28.28 |
-1.61 |
| Profit Factor |
1.77 |
1.12 |
| Probabilistic Sharpe |
99.91% |
96.8% |
| Smart Sharpe |
1.71 |
0.86 |
| Annual Volatility |
15.38% |
16.7% |
| Omega |
1.77 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-0.62% |
-1.35% |
| Avg Drawdown Days |
5 |
13 |
| Avg Up Month |
3.46 |
4.35 |
| Avg Down Month |
-5.67% |
-5.56% |
| R^2 |
0.12 |
0.12 |
| Calmar |
1.87 |
0.56 |
| Treynor |
627.6 |
- |