| Metric |
Strategy |
SPX |
|---|
| Trade Count |
61 |
1 |
| Win/Loss rate |
46 / 15 = 3.07 |
- |
| Adjustments |
1206 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
61 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
90.77 |
1458 |
| Cumulative Return |
110.19% |
75.43% |
| CAGR |
20.44% |
15.11% |
| Max Drawdown |
-32.74% |
-25.39% |
| Sharpe |
0.89 |
0.92 |
| Alpha |
0.15 |
- |
| Beta |
0.46 |
- |
| Kelly Criterion |
9.29 |
-13.13 |
| Profit Factor |
1.17 |
1.14 |
| Probabilistic Sharpe |
95.78% |
96.67% |
| Smart Sharpe |
0.88 |
0.92 |
| Annual Volatility |
24.37% |
16.77% |
| Omega |
1.17 |
- |
| Information ratio |
0.01 |
- |
| Avg Drawdown |
-2.43% |
-1.12% |
| Avg Drawdown Days |
16 |
12 |
| Avg Up Month |
5.4 |
4.23 |
| Avg Down Month |
-4.8% |
-4.37% |
| R^2 |
0.1 |
0.1 |
| Calmar |
0.62 |
0.6 |
| Treynor |
242 |
- |