| Metric |
Strategy |
SPX |
|---|
| Trade Count |
33 |
1 |
| Win/Loss rate |
11 / 22 = 0.5 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
1 |
- |
| Max DIT Reaches |
31 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6.76 |
247 |
| Cumulative Return |
-56.68% |
15.84% |
| CAGR |
-70.96% |
24.27% |
| Max Drawdown |
-59.58% |
-7.94% |
| Sharpe |
-1.5 |
1.8 |
| Alpha |
-0.81 |
- |
| Beta |
-0.73 |
- |
| Kelly Criterion |
-113 |
-13.27 |
| Profit Factor |
0.67 |
1.37 |
| Probabilistic Sharpe |
5.86% |
91.91% |
| Smart Sharpe |
-1.41 |
1.69 |
| Annual Volatility |
64.98% |
12.45% |
| Omega |
0.67 |
- |
| Information ratio |
-0.11 |
- |
| Avg Drawdown |
-16.77% |
-1.26% |
| Avg Drawdown Days |
48 |
9 |
| Avg Up Month |
4.51 |
4.51 |
| Avg Down Month |
-27.52% |
-0.71% |
| R^2 |
0.02 |
0.02 |
| Calmar |
-1.19 |
3.06 |
| Treynor |
78.03 |
- |