| Metric |
Strategy |
SPX |
|---|
| Trade Count |
1 |
1 |
| Win/Loss rate |
0 / 1 = 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6 |
8 |
| Cumulative Return |
-7.28% |
-1.7% |
| CAGR |
-96.82% |
-54.34% |
| Max Drawdown |
-7.25% |
-3.27% |
| Sharpe |
-7.22 |
-3.98 |
| Alpha |
-1.62 |
- |
| Beta |
1.69 |
- |
| Kelly Criterion |
|
|
| Profit Factor |
0.13 |
0.49 |
| Probabilistic Sharpe |
2.48% |
28.11% |
| Smart Sharpe |
-5.44 |
-3 |
| Annual Volatility |
36.66% |
15.28% |
| Omega |
0.13 |
- |
| Information ratio |
-0.46 |
- |
| Avg Drawdown |
-7.25% |
-3.27% |
| Avg Drawdown Days |
7 |
7 |
| Avg Up Month |
|
|
| Avg Down Month |
-7.28% |
-1.7% |
| R^2 |
0.5 |
0.5 |
| Calmar |
-13.35 |
-16.63 |
| Treynor |
-4.3 |
- |