| Metric |
Strategy |
SPX |
|---|
| Trade Count |
18 |
1 |
| Win/Loss rate |
14 / 4 = 3.5 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
6 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
17.89 |
361 |
| Cumulative Return |
84.19% |
-20.33% |
| CAGR |
85.44% |
-20.53% |
| Max Drawdown |
-9.54% |
-25.39% |
| Sharpe |
3.06 |
-0.85 |
| Alpha |
0.62 |
- |
| Beta |
-0.07 |
- |
| Kelly Criterion |
16.98 |
-27.53 |
| Profit Factor |
1.71 |
0.87 |
| Probabilistic Sharpe |
99.87% |
19.89% |
| Smart Sharpe |
2.8 |
-0.78 |
| Annual Volatility |
20.79% |
23.62% |
| Omega |
1.71 |
- |
| Information ratio |
0.16 |
- |
| Avg Drawdown |
-1.85% |
-25.39% |
| Avg Drawdown Days |
8 |
360 |
| Avg Up Month |
4.93 |
5.83 |
| Avg Down Month |
-5.48% |
-4.25% |
| R^2 |
0.01 |
0.01 |
| Calmar |
8.95 |
-0.81 |
| Treynor |
-1232.25 |
- |