| Metric |
Strategy |
SPX |
|---|
| Trade Count |
211 |
1 |
| Win/Loss rate |
177 / 34 = 5.21 |
- |
| Adjustments |
0 |
- |
| PT Hits |
109 |
- |
| SL Hits |
32 |
- |
| Max DIT Reaches |
85 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.31 |
1395 |
| Cumulative Return |
134.94% |
54.71% |
| CAGR |
25.04% |
12.1% |
| Max Drawdown |
-47.43% |
-32.69% |
| Sharpe |
0.97 |
0.68 |
| Alpha |
0.18 |
- |
| Beta |
0.64 |
- |
| Kelly Criterion |
-3.72 |
-7.64 |
| Profit Factor |
1.31 |
1.13 |
| Probabilistic Sharpe |
95.61% |
90.58% |
| Smart Sharpe |
0.93 |
0.65 |
| Annual Volatility |
27.09% |
19.69% |
| Omega |
1.31 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-1.77% |
-1.75% |
| Avg Drawdown Days |
11 |
13 |
| Avg Up Month |
6.2 |
4.88 |
| Avg Down Month |
-10.23% |
-5.84% |
| R^2 |
0.21 |
0.21 |
| Calmar |
0.53 |
0.37 |
| Treynor |
212.33 |
- |