| Metric |
Strategy |
SPX |
|---|
| Trade Count |
5 |
1 |
| Win/Loss rate |
3 / 2 = 1.5 |
- |
| Adjustments |
40 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
2 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
59 |
332 |
| Cumulative Return |
-93.06% |
27.76% |
| CAGR |
-94.72% |
31.02% |
| Max Drawdown |
-183.71% |
-8.54% |
| Sharpe |
-0.11 |
2.22 |
| Alpha |
12.01 |
- |
| Beta |
-69.11 |
- |
| Kelly Criterion |
-58.71 |
0.72 |
| Profit Factor |
0.92 |
1.47 |
| Probabilistic Sharpe |
45.92% |
98.08% |
| Smart Sharpe |
-0.11 |
2.15 |
| Annual Volatility |
6343.76% |
12.42% |
| Omega |
0.92 |
- |
| Information ratio |
-0.01 |
- |
| Avg Drawdown |
-62.35% |
-1.35% |
| Avg Drawdown Days |
108 |
10 |
| Avg Up Month |
19.53 |
2.77 |
| Avg Down Month |
-36.34% |
-1.82% |
| R^2 |
0.02 |
0.02 |
| Calmar |
-0.52 |
3.63 |
| Treynor |
1.35 |
- |