| Metric |
Strategy |
SPX |
|---|
| Trade Count |
251 |
1 |
| Win/Loss rate |
212 / 39 = 5.44 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
27 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
896 |
- |
| Avg Days in Trade |
0.61 |
364 |
| Cumulative Return |
29.99% |
23.96% |
| CAGR |
30.08% |
24.03% |
| Max Drawdown |
-32.14% |
-9.38% |
| Sharpe |
0.87 |
1.79 |
| Alpha |
0.31 |
- |
| Beta |
0.13 |
- |
| Kelly Criterion |
0.25 |
-4.63 |
| Profit Factor |
1.03 |
1.05 |
| Probabilistic Sharpe |
80.35% |
95.98% |
| Smart Sharpe |
0.85 |
1.76 |
| Annual Volatility |
39.42% |
12.47% |
| Omega |
1.03 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.49% |
-0.27% |
| Avg Drawdown Days |
1 |
1 |
| Avg Up Month |
8.59 |
2.67 |
| Avg Down Month |
-9.48% |
-3.56% |
| R^2 |
0 |
0 |
| Calmar |
0.94 |
2.56 |
| Treynor |
224.64 |
- |