| Metric |
Strategy |
SPX |
|---|
| Trade Count |
10 |
1 |
| Win/Loss rate |
4 / 6 = 0.67 |
- |
| Adjustments |
0 |
- |
| PT Hits |
4 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
34.8 |
361 |
| Cumulative Return |
2.8% |
-20.33% |
| CAGR |
2.83% |
-20.53% |
| Max Drawdown |
-12.9% |
-25.39% |
| Sharpe |
0.25 |
-0.85 |
| Alpha |
0.15 |
- |
| Beta |
0.52 |
- |
| Kelly Criterion |
1.73 |
-11.65 |
| Profit Factor |
1.05 |
0.87 |
| Probabilistic Sharpe |
59.79% |
19.88% |
| Smart Sharpe |
0.24 |
-0.81 |
| Annual Volatility |
16.78% |
23.66% |
| Omega |
1.05 |
- |
| Information ratio |
0.1 |
- |
| Avg Drawdown |
-2.24% |
-25.39% |
| Avg Drawdown Days |
26 |
360 |
| Avg Up Month |
5.02 |
5.83 |
| Avg Down Month |
-2.8% |
-6.56% |
| R^2 |
0.54 |
0.54 |
| Calmar |
0.22 |
-0.81 |
| Treynor |
5.37 |
- |