| Metric |
Strategy |
SPX |
|---|
| Trade Count |
7 |
1 |
| Win/Loss rate |
6 / 1 = 6 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
7 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
90.43 |
725 |
| Cumulative Return |
21.6% |
-0.35% |
| CAGR |
10.35% |
-0.17% |
| Max Drawdown |
-9.03% |
-25.39% |
| Sharpe |
0.85 |
0.09 |
| Alpha |
0.1 |
- |
| Beta |
0.33 |
- |
| Kelly Criterion |
13.89 |
-21.39 |
| Profit Factor |
1.22 |
1.01 |
| Probabilistic Sharpe |
87.93% |
54.82% |
| Smart Sharpe |
0.81 |
0.08 |
| Annual Volatility |
12.42% |
19.04% |
| Omega |
1.22 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-1.06% |
-25.39% |
| Avg Drawdown Days |
10 |
724 |
| Avg Up Month |
2.06 |
4.77 |
| Avg Down Month |
-2.52% |
-7.13% |
| R^2 |
0.26 |
0.26 |
| Calmar |
1.15 |
-0.01 |
| Treynor |
64.84 |
- |