| Metric |
Strategy |
SPX |
|---|
| Trade Count |
19 |
1 |
| Win/Loss rate |
19 / 0 |
- |
| Adjustments |
8 |
- |
| PT Hits |
15 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
6 |
- |
| Avg Days in Trade |
30.96 |
247 |
| Cumulative Return |
116.46% |
15.99% |
| CAGR |
213.05% |
24.51% |
| Max Drawdown |
-24.12% |
-9.31% |
| Sharpe |
1.51 |
1.64 |
| Alpha |
1.78 |
- |
| Beta |
-1.17 |
- |
| Kelly Criterion |
6.54 |
12.01 |
| Profit Factor |
1.59 |
1.24 |
| Probabilistic Sharpe |
98.32% |
88.82% |
| Smart Sharpe |
1.47 |
1.59 |
| Annual Volatility |
100.12% |
13.98% |
| Omega |
1.59 |
- |
| Information ratio |
0.06 |
- |
| Avg Drawdown |
-2.97% |
-1.08% |
| Avg Drawdown Days |
5 |
6 |
| Avg Up Month |
21.26 |
3.37 |
| Avg Down Month |
-11.61% |
-3.15% |
| R^2 |
0.03 |
0.03 |
| Calmar |
8.83 |
2.63 |
| Treynor |
-99.58 |
- |