| Metric |
Strategy |
SPX |
|---|
| Trade Count |
94 |
1 |
| Win/Loss rate |
94 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
94 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
34.67 |
360 |
| Cumulative Return |
21.93% |
27.76% |
| CAGR |
22.26% |
28.2% |
| Max Drawdown |
-2.85% |
-4.88% |
| Sharpe |
2.89 |
2.05 |
| Alpha |
0.07 |
- |
| Beta |
0.51 |
- |
| Kelly Criterion |
26.5 |
11.26 |
| Profit Factor |
1.69 |
1.41 |
| Probabilistic Sharpe |
99.69% |
97.64% |
| Smart Sharpe |
2.6 |
1.84 |
| Annual Volatility |
6.97% |
12.39% |
| Omega |
1.69 |
- |
| Information ratio |
-0.05 |
- |
| Avg Drawdown |
-0.6% |
-1.37% |
| Avg Drawdown Days |
4 |
8 |
| Avg Up Month |
2.39 |
3.36 |
| Avg Down Month |
-0.46% |
-1.67% |
| R^2 |
0.82 |
0.82 |
| Calmar |
7.82 |
5.77 |
| Treynor |
43.03 |
- |