| Metric |
Strategy |
SPX |
|---|
| Trade Count |
18 |
1 |
| Win/Loss rate |
17 / 1 = 17 |
- |
| Adjustments |
0 |
- |
| PT Hits |
17 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
26.78 |
247 |
| Cumulative Return |
65.59% |
16.39% |
| CAGR |
110.71% |
25.15% |
| Max Drawdown |
-24.3% |
-8.54% |
| Sharpe |
1.87 |
1.72 |
| Alpha |
0.22 |
- |
| Beta |
2.69 |
- |
| Kelly Criterion |
17.75 |
14.32 |
| Profit Factor |
1.41 |
1.37 |
| Probabilistic Sharpe |
94.24% |
90.67% |
| Smart Sharpe |
1.87 |
1.72 |
| Annual Volatility |
45.09% |
13.53% |
| Omega |
1.41 |
- |
| Information ratio |
0.11 |
- |
| Avg Drawdown |
-4.88% |
-1.5% |
| Avg Drawdown Days |
9 |
10 |
| Avg Up Month |
14.31 |
3.3 |
| Avg Down Month |
-8.63% |
-1.41% |
| R^2 |
0.65 |
0.65 |
| Calmar |
4.56 |
2.95 |
| Treynor |
24.39 |
- |