| Metric |
Strategy |
SPX |
|---|
| Trade Count |
27 |
1 |
| Win/Loss rate |
15 / 12 = 1.25 |
- |
| Adjustments |
124 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
5 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
11.07 |
360 |
| Cumulative Return |
98.82% |
29.93% |
| CAGR |
100.73% |
30.41% |
| Max Drawdown |
-16.59% |
-5.43% |
| Sharpe |
2.1 |
2.07 |
| Alpha |
0.21 |
- |
| Beta |
1.99 |
- |
| Kelly Criterion |
16.88 |
1.95 |
| Profit Factor |
1.65 |
1.42 |
| Probabilistic Sharpe |
97.21% |
97.69% |
| Smart Sharpe |
2.02 |
1.99 |
| Annual Volatility |
36% |
13.12% |
| Omega |
1.65 |
- |
| Information ratio |
0.11 |
- |
| Avg Drawdown |
-3.48% |
-1.25% |
| Avg Drawdown Days |
9 |
8 |
| Avg Up Month |
12.12 |
3.94 |
| Avg Down Month |
-8.38% |
-1.34% |
| R^2 |
0.53 |
0.53 |
| Calmar |
6.07 |
5.6 |
| Treynor |
49.54 |
- |