| Metric |
Strategy |
SPX |
|---|
| Trade Count |
110 |
1 |
| Win/Loss rate |
103 / 7 = 14.71 |
- |
| Adjustments |
30 |
- |
| PT Hits |
80 |
- |
| SL Hits |
2 |
- |
| Max DIT Reaches |
14 |
- |
| Settlements |
28 |
- |
| Avg Days in Trade |
37.59 |
1458 |
| Cumulative Return |
386.35% |
75.9% |
| CAGR |
48.58% |
15.19% |
| Max Drawdown |
-27.13% |
-27.16% |
| Sharpe |
1.44 |
0.93 |
| Alpha |
0.25 |
- |
| Beta |
1.28 |
- |
| Kelly Criterion |
14.32 |
0.52 |
| Profit Factor |
1.28 |
1.12 |
| Probabilistic Sharpe |
99.72% |
96.77% |
| Smart Sharpe |
1.43 |
0.92 |
| Annual Volatility |
30.91% |
16.73% |
| Omega |
1.28 |
- |
| Information ratio |
0.06 |
- |
| Avg Drawdown |
-2.1% |
-1.35% |
| Avg Drawdown Days |
8 |
13 |
| Avg Up Month |
7.06 |
4.41 |
| Avg Down Month |
-4.1% |
-4.15% |
| R^2 |
0.48 |
0.48 |
| Calmar |
1.79 |
0.56 |
| Treynor |
302.34 |
- |