| Metric |
Strategy |
SPX |
|---|
| Trade Count |
50 |
1 |
| Win/Loss rate |
29 / 21 = 1.38 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
49 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
7.02 |
360 |
| Cumulative Return |
274.14% |
30.62% |
| CAGR |
281.06% |
31.1% |
| Max Drawdown |
-16.25% |
-5.54% |
| Sharpe |
2.63 |
2.08 |
| Alpha |
1.47 |
- |
| Beta |
0.04 |
- |
| Kelly Criterion |
8.19 |
-21.74 |
| Profit Factor |
1.9 |
1.44 |
| Probabilistic Sharpe |
99.85% |
97.76% |
| Smart Sharpe |
1.88 |
1.49 |
| Annual Volatility |
56.24% |
13.35% |
| Omega |
1.9 |
- |
| Information ratio |
0.13 |
- |
| Avg Drawdown |
-4.23% |
-1.11% |
| Avg Drawdown Days |
9 |
7 |
| Avg Up Month |
13.33 |
2.61 |
| Avg Down Month |
|
|
| R^2 |
0 |
0 |
| Calmar |
17.3 |
5.62 |
| Treynor |
6249.83 |
- |