| Metric |
Strategy |
SPX |
|---|
| Trade Count |
10 |
1 |
| Win/Loss rate |
9 / 1 = 9 |
- |
| Adjustments |
198 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
10 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.5 |
332 |
| Cumulative Return |
87.91% |
27.76% |
| CAGR |
100.49% |
31.02% |
| Max Drawdown |
-51.07% |
-8.54% |
| Sharpe |
1.45 |
2.22 |
| Alpha |
-0.23 |
- |
| Beta |
4.1 |
- |
| Kelly Criterion |
19.32 |
5.93 |
| Profit Factor |
1.38 |
1.47 |
| Probabilistic Sharpe |
88.77% |
98.08% |
| Smart Sharpe |
1.28 |
1.96 |
| Annual Volatility |
62.26% |
12.42% |
| Omega |
1.38 |
- |
| Information ratio |
0.07 |
- |
| Avg Drawdown |
-5.48% |
-1.35% |
| Avg Drawdown Days |
12 |
10 |
| Avg Up Month |
13.35 |
3.35 |
| Avg Down Month |
-9.6% |
-1.82% |
| R^2 |
0.67 |
0.67 |
| Calmar |
1.97 |
3.63 |
| Treynor |
21.42 |
- |