| Metric |
Strategy |
SPX |
|---|
| Trade Count |
67 |
1 |
| Win/Loss rate |
36 / 31 = 1.16 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
15.39 |
361 |
| Cumulative Return |
154.08% |
-20.33% |
| CAGR |
156.72% |
-20.53% |
| Max Drawdown |
-17.58% |
-25.39% |
| Sharpe |
2.28 |
-0.85 |
| Alpha |
0.98 |
- |
| Beta |
-0.36 |
- |
| Kelly Criterion |
9.02 |
-33.36 |
| Profit Factor |
1.48 |
0.87 |
| Probabilistic Sharpe |
98.54% |
19.97% |
| Smart Sharpe |
2.13 |
-0.79 |
| Annual Volatility |
46.35% |
23.82% |
| Omega |
1.48 |
- |
| Information ratio |
0.14 |
- |
| Avg Drawdown |
-8.62% |
-25.39% |
| Avg Drawdown Days |
22 |
360 |
| Avg Up Month |
5.61 |
5.83 |
| Avg Down Month |
-4.03% |
-6.5% |
| R^2 |
0.03 |
0.03 |
| Calmar |
8.92 |
-0.81 |
| Treynor |
-429.12 |
- |