| Metric |
Strategy |
SPX |
|---|
| Trade Count |
6 |
1 |
| Win/Loss rate |
5 / 0 |
- |
| Adjustments |
8 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
5 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
70.6 |
360 |
| Cumulative Return |
81.53% |
29.93% |
| CAGR |
83.04% |
30.41% |
| Max Drawdown |
-13.22% |
-5.43% |
| Sharpe |
2.4 |
2.07 |
| Alpha |
0.25 |
- |
| Beta |
1.4 |
- |
| Kelly Criterion |
12.8 |
7.82 |
| Profit Factor |
1.62 |
1.42 |
| Probabilistic Sharpe |
99.46% |
98.3% |
| Smart Sharpe |
1.98 |
1.71 |
| Annual Volatility |
26.41% |
13.12% |
| Omega |
1.62 |
- |
| Information ratio |
0.12 |
- |
| Avg Drawdown |
-1.96% |
-1.25% |
| Avg Drawdown Days |
6 |
8 |
| Avg Up Month |
9.58 |
3.47 |
| Avg Down Month |
-7.46% |
-1.34% |
| R^2 |
0.49 |
0.49 |
| Calmar |
6.28 |
5.6 |
| Treynor |
58.15 |
- |