| Metric |
Strategy |
SPX |
|---|
| Trade Count |
569 |
1 |
| Win/Loss rate |
463 / 106 = 4.37 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
103 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
1864 |
- |
| Avg Days in Trade |
0.62 |
1824 |
| Cumulative Return |
24.07% |
82.36% |
| CAGR |
4.41% |
12.78% |
| Max Drawdown |
-4.2% |
-35.34% |
| Sharpe |
1.13 |
0.7 |
| Alpha |
0.04 |
- |
| Beta |
0 |
- |
| Kelly Criterion |
2.81 |
-2.95 |
| Profit Factor |
1.06 |
1.02 |
| Probabilistic Sharpe |
99.28% |
94.01% |
| Smart Sharpe |
1.02 |
0.64 |
| Annual Volatility |
3.89% |
19.97% |
| Omega |
1.06 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.07% |
-0.35% |
| Avg Drawdown Days |
1 |
2 |
| Avg Up Month |
0.81 |
4.49 |
| Avg Down Month |
-0.9% |
-2.68% |
| R^2 |
0 |
0 |
| Calmar |
1.05 |
0.36 |
| Treynor |
5456.74 |
- |