| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
10 / 1 = 10 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.55 |
361 |
| Cumulative Return |
73.94% |
-20.33% |
| CAGR |
75.01% |
-20.53% |
| Max Drawdown |
-46.98% |
-25.39% |
| Sharpe |
1.11 |
-0.85 |
| Alpha |
1.25 |
- |
| Beta |
1.97 |
- |
| Kelly Criterion |
24.86 |
-21.3 |
| Profit Factor |
1.34 |
0.87 |
| Probabilistic Sharpe |
86.68% |
19.88% |
| Smart Sharpe |
1.03 |
-0.78 |
| Annual Volatility |
76.42% |
23.66% |
| Omega |
1.34 |
- |
| Information ratio |
0.1 |
- |
| Avg Drawdown |
-3.98% |
-25.39% |
| Avg Drawdown Days |
7 |
360 |
| Avg Up Month |
11.39 |
5.83 |
| Avg Down Month |
-12.17% |
-6.5% |
| R^2 |
0.37 |
0.37 |
| Calmar |
1.6 |
-0.81 |
| Treynor |
37.45 |
- |