| Metric |
Strategy |
GLD |
|---|
| Trade Count |
44 |
1 |
| Win/Loss rate |
34 / 10 = 3.4 |
- |
| Adjustments |
12 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
32 |
- |
| Avg Days in Trade |
0 |
1457 |
| Cumulative Return |
1.04% |
32.96% |
| CAGR |
0.26% |
7.4% |
| Max Drawdown |
-1.34% |
-20.84% |
| Sharpe |
0.32 |
0.58 |
| Alpha |
0 |
- |
| Beta |
0.04 |
- |
| Kelly Criterion |
12.15 |
-7.35 |
| Profit Factor |
1.08 |
1.1 |
| Probabilistic Sharpe |
73.6% |
87.48% |
| Smart Sharpe |
0.31 |
0.56 |
| Annual Volatility |
0.82% |
14.07% |
| Omega |
1.08 |
- |
| Information ratio |
-0.04 |
- |
| Avg Drawdown |
-0.14% |
-3.88% |
| Avg Drawdown Days |
42 |
69 |
| Avg Up Month |
0.14 |
4.34 |
| Avg Down Month |
-0.25% |
-4% |
| R^2 |
0.4 |
0.4 |
| Calmar |
0.19 |
0.35 |
| Treynor |
28.12 |
- |