| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
4 / 7 = 0.57 |
- |
| Adjustments |
11 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.55 |
360 |
| Cumulative Return |
27.81% |
29.93% |
| CAGR |
28.24% |
30.41% |
| Max Drawdown |
-65.21% |
-5.43% |
| Sharpe |
0.77 |
2.07 |
| Alpha |
-0.45 |
- |
| Beta |
5 |
- |
| Kelly Criterion |
-1.53 |
21.87 |
| Profit Factor |
1.16 |
1.43 |
| Probabilistic Sharpe |
78.51% |
97.69% |
| Smart Sharpe |
0.77 |
2.07 |
| Annual Volatility |
118.53% |
13.14% |
| Omega |
1.16 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-41.14% |
-1.25% |
| Avg Drawdown Days |
117 |
8 |
| Avg Up Month |
40.8 |
4.37 |
| Avg Down Month |
-38.73% |
-3.62% |
| R^2 |
0.31 |
0.31 |
| Calmar |
0.43 |
5.6 |
| Treynor |
5.57 |
- |