| Metric |
Strategy |
SPX |
|---|
| Trade Count |
17 |
1 |
| Win/Loss rate |
3 / 14 = 0.21 |
- |
| Adjustments |
32 |
- |
| PT Hits |
0 |
- |
| SL Hits |
1 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
15.59 |
361 |
| Cumulative Return |
-312.3% |
-20.33% |
| CAGR |
114.08% |
-20.53% |
| Max Drawdown |
-341.88% |
-25.39% |
| Sharpe |
-0.84 |
-0.85 |
| Alpha |
-1.98 |
- |
| Beta |
1.14 |
- |
| Kelly Criterion |
-161.02 |
8.21 |
| Profit Factor |
0.47 |
0.87 |
| Probabilistic Sharpe |
8.59% |
19.98% |
| Smart Sharpe |
-0.82 |
-0.84 |
| Annual Volatility |
264.13% |
23.78% |
| Omega |
0.47 |
- |
| Information ratio |
-0.05 |
- |
| Avg Drawdown |
-75.52% |
-25.39% |
| Avg Drawdown Days |
70 |
360 |
| Avg Up Month |
|
|
| Avg Down Month |
-7.03% |
-5.26% |
| R^2 |
0.01 |
0.01 |
| Calmar |
0.33 |
-0.81 |
| Treynor |
-275.02 |
- |