| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
9 / 2 = 4.5 |
- |
| Adjustments |
7 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.55 |
361 |
| Cumulative Return |
-3.55% |
-20.33% |
| CAGR |
-3.58% |
-20.53% |
| Max Drawdown |
-100.32% |
-25.39% |
| Sharpe |
-0.73 |
-0.85 |
| Alpha |
-27.95 |
- |
| Beta |
3.96 |
- |
| Kelly Criterion |
25.88 |
-11.41 |
| Profit Factor |
0.4 |
0.87 |
| Probabilistic Sharpe |
13.78% |
19.9% |
| Smart Sharpe |
-0.71 |
-0.82 |
| Annual Volatility |
3914.63% |
23.62% |
| Omega |
0.4 |
- |
| Information ratio |
-0.05 |
- |
| Avg Drawdown |
-29.89% |
-25.39% |
| Avg Drawdown Days |
48 |
360 |
| Avg Up Month |
11.65 |
5.12 |
| Avg Down Month |
-31.35% |
-4.64% |
| R^2 |
0 |
0 |
| Calmar |
-0.04 |
-0.81 |
| Treynor |
-0.9 |
- |