| Metric |
Strategy |
SPX |
|---|
| Trade Count |
196 |
1 |
| Win/Loss rate |
137 / 59 = 2.32 |
- |
| Adjustments |
237 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
96 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
27.15 |
1397 |
| Cumulative Return |
44.5% |
43.95% |
| CAGR |
10.09% |
9.99% |
| Max Drawdown |
-5.16% |
-26.7% |
| Sharpe |
2.24 |
0.63 |
| Alpha |
0.09 |
- |
| Beta |
0.02 |
- |
| Kelly Criterion |
6.11 |
-3.63 |
| Profit Factor |
1.34 |
1.07 |
| Probabilistic Sharpe |
100% |
89.1% |
| Smart Sharpe |
1.99 |
0.56 |
| Annual Volatility |
4.33% |
17.54% |
| Omega |
1.34 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-0.26% |
-1.38% |
| Avg Drawdown Days |
6 |
15 |
| Avg Up Month |
1.02 |
3.45 |
| Avg Down Month |
-0.2% |
-5.37% |
| R^2 |
0.01 |
0.01 |
| Calmar |
1.96 |
0.37 |
| Treynor |
1820.57 |
- |