| Metric |
Strategy |
SPX |
|---|
| Trade Count |
141 |
1 |
| Win/Loss rate |
116 / 25 = 4.64 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
25 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
464 |
- |
| Avg Days in Trade |
0.62 |
360 |
| Cumulative Return |
13.6% |
23.44% |
| CAGR |
13.81% |
23.8% |
| Max Drawdown |
-4.99% |
-10.88% |
| Sharpe |
2.24 |
1.72 |
| Alpha |
0.13 |
- |
| Beta |
0.02 |
- |
| Kelly Criterion |
7.41 |
-2.9 |
| Profit Factor |
1.1 |
1.04 |
| Probabilistic Sharpe |
98.29% |
95.68% |
| Smart Sharpe |
2.19 |
1.68 |
| Annual Volatility |
5.85% |
12.89% |
| Omega |
1.1 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.1% |
-0.36% |
| Avg Drawdown Days |
0 |
2 |
| Avg Up Month |
2.15 |
3.89 |
| Avg Down Month |
-0.01% |
-5.55% |
| R^2 |
0 |
0 |
| Calmar |
2.77 |
2.19 |
| Treynor |
750.55 |
- |