| Metric |
Strategy |
SPX |
|---|
| Trade Count |
3 |
1 |
| Win/Loss rate |
3 / 0 |
- |
| Adjustments |
4 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
3 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
90.67 |
360 |
| Cumulative Return |
68.31% |
29.93% |
| CAGR |
69.53% |
30.41% |
| Max Drawdown |
-13.22% |
-5.43% |
| Sharpe |
2.06 |
2.07 |
| Alpha |
0.15 |
- |
| Beta |
1.51 |
- |
| Kelly Criterion |
14.12 |
6.74 |
| Profit Factor |
1.55 |
1.42 |
| Probabilistic Sharpe |
96.96% |
97.69% |
| Smart Sharpe |
1.66 |
1.68 |
| Annual Volatility |
27.28% |
13.12% |
| Omega |
1.55 |
- |
| Information ratio |
0.09 |
- |
| Avg Drawdown |
-2.16% |
-1.25% |
| Avg Drawdown Days |
6 |
8 |
| Avg Up Month |
7.32 |
3.28 |
| Avg Down Month |
-5.85% |
-1.34% |
| R^2 |
0.53 |
0.53 |
| Calmar |
5.26 |
5.6 |
| Treynor |
45.1 |
- |