| Metric |
Strategy |
SPX |
|---|
| Trade Count |
194 |
1 |
| Win/Loss rate |
148 / 46 = 3.22 |
- |
| Adjustments |
122 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
95 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
37.59 |
1397 |
| Cumulative Return |
56.86% |
43.95% |
| CAGR |
12.48% |
9.99% |
| Max Drawdown |
-4.36% |
-26.7% |
| Sharpe |
2.46 |
0.63 |
| Alpha |
0.12 |
- |
| Beta |
-0.03 |
- |
| Kelly Criterion |
13.14 |
7.18 |
| Profit Factor |
1.35 |
1.07 |
| Probabilistic Sharpe |
100% |
89.14% |
| Smart Sharpe |
2.28 |
0.58 |
| Annual Volatility |
4.83% |
17.5% |
| Omega |
1.35 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.42% |
-1.38% |
| Avg Drawdown Days |
8 |
15 |
| Avg Up Month |
1.08 |
3.44 |
| Avg Down Month |
-0.37% |
-0.05% |
| R^2 |
0.01 |
0.01 |
| Calmar |
2.87 |
0.37 |
| Treynor |
-2123.34 |
- |