| Metric |
Strategy |
GLD |
|---|
| Trade Count |
647 |
1 |
| Win/Loss rate |
568 / 79 = 7.19 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
379 |
- |
| Settlements |
229 |
- |
| Avg Days in Trade |
14.18 |
1994 |
| Cumulative Return |
47.07% |
115.55% |
| CAGR |
7.32% |
15.09% |
| Max Drawdown |
-8.1% |
-21.83% |
| Sharpe |
1.08 |
0.97 |
| Alpha |
0.02 |
- |
| Beta |
0.32 |
- |
| Kelly Criterion |
20.99 |
-3.29 |
| Profit Factor |
1.28 |
1.18 |
| Probabilistic Sharpe |
99.27% |
98.8% |
| Smart Sharpe |
1 |
0.9 |
| Annual Volatility |
6.75% |
15.79% |
| Omega |
1.28 |
- |
| Information ratio |
-0.04 |
- |
| Avg Drawdown |
-0.63% |
-2.56% |
| Avg Drawdown Days |
10 |
41 |
| Avg Up Month |
1.3 |
4.06 |
| Avg Down Month |
-1.81% |
-3.96% |
| R^2 |
0.56 |
0.56 |
| Calmar |
0.9 |
0.69 |
| Treynor |
146.52 |
- |