| Metric |
Strategy |
SPX |
|---|
| Trade Count |
30 |
1 |
| Win/Loss rate |
12 / 18 = 0.67 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
10.2 |
360 |
| Cumulative Return |
-10.91% |
29.93% |
| CAGR |
-11.05% |
30.41% |
| Max Drawdown |
-84.09% |
-5.43% |
| Sharpe |
0.73 |
2.07 |
| Alpha |
-0.52 |
- |
| Beta |
6.29 |
- |
| Kelly Criterion |
-8.49 |
3.09 |
| Profit Factor |
1.2 |
1.42 |
| Probabilistic Sharpe |
77.46% |
97.69% |
| Smart Sharpe |
0.62 |
1.76 |
| Annual Volatility |
163.39% |
13.12% |
| Omega |
1.2 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-30.22% |
-1.25% |
| Avg Drawdown Days |
42 |
8 |
| Avg Up Month |
43.63 |
2.92 |
| Avg Down Month |
-34.93% |
-2.48% |
| R^2 |
0.26 |
0.26 |
| Calmar |
-0.13 |
5.6 |
| Treynor |
-1.73 |
- |