| Metric |
Strategy |
SPX |
|---|
| Trade Count |
34 |
1 |
| Win/Loss rate |
27 / 7 = 3.86 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
34 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
3.12 |
247 |
| Cumulative Return |
-49.89% |
16.67% |
| CAGR |
-63.97% |
25.59% |
| Max Drawdown |
-64.23% |
-8.78% |
| Sharpe |
-0.59 |
1.71 |
| Alpha |
-1.07 |
- |
| Beta |
2.51 |
- |
| Kelly Criterion |
-90.54 |
-50.09 |
| Profit Factor |
0.61 |
1.33 |
| Probabilistic Sharpe |
26.69% |
90.03% |
| Smart Sharpe |
-0.59 |
1.71 |
| Annual Volatility |
79.13% |
13.91% |
| Omega |
0.61 |
- |
| Information ratio |
-0.05 |
- |
| Avg Drawdown |
-4.43% |
-1.3% |
| Avg Drawdown Days |
9 |
9 |
| Avg Up Month |
4.01 |
3.12 |
| Avg Down Month |
|
|
| R^2 |
0.19 |
0.19 |
| Calmar |
-1 |
2.91 |
| Treynor |
-19.87 |
- |