| Metric |
Strategy |
SPX |
|---|
| Trade Count |
5 |
1 |
| Win/Loss rate |
4 / 1 = 4 |
- |
| Adjustments |
207 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
5 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
60 |
361 |
| Cumulative Return |
103.72% |
-19.9% |
| CAGR |
105.34% |
-20.1% |
| Max Drawdown |
-62.97% |
-26.7% |
| Sharpe |
1.18 |
-0.8 |
| Alpha |
2.3 |
- |
| Beta |
3.07 |
- |
| Kelly Criterion |
15.95 |
-13.71 |
| Profit Factor |
1.33 |
0.88 |
| Probabilistic Sharpe |
89.58% |
21.29% |
| Smart Sharpe |
1 |
-0.68 |
| Annual Volatility |
144.67% |
24.32% |
| Omega |
1.33 |
- |
| Information ratio |
0.09 |
- |
| Avg Drawdown |
-12.59% |
-26.7% |
| Avg Drawdown Days |
13 |
360 |
| Avg Up Month |
16.64 |
5.16 |
| Avg Down Month |
-15.44% |
-5.6% |
| R^2 |
0.27 |
0.27 |
| Calmar |
1.67 |
-0.75 |
| Treynor |
33.74 |
- |