| Metric |
Strategy |
SPX |
|---|
| Trade Count |
93 |
1 |
| Win/Loss rate |
58 / 35 = 1.66 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.05 |
360 |
| Cumulative Return |
214.72% |
25.07% |
| CAGR |
219.77% |
25.46% |
| Max Drawdown |
-17.22% |
-10.13% |
| Sharpe |
3.25 |
1.83 |
| Alpha |
1.42 |
- |
| Beta |
-0.82 |
- |
| Kelly Criterion |
27.02 |
-37.12 |
| Profit Factor |
1.88 |
1.34 |
| Probabilistic Sharpe |
99.95% |
96.63% |
| Smart Sharpe |
3.18 |
1.79 |
| Annual Volatility |
37.84% |
12.8% |
| Omega |
1.88 |
- |
| Information ratio |
0.15 |
- |
| Avg Drawdown |
-3.33% |
-1.64% |
| Avg Drawdown Days |
9 |
14 |
| Avg Up Month |
13.98 |
3.19 |
| Avg Down Month |
|
|
| R^2 |
0.08 |
0.08 |
| Calmar |
12.76 |
2.51 |
| Treynor |
-263.41 |
- |