| Metric |
Strategy |
SPX |
|---|
| Trade Count |
322 |
1 |
| Win/Loss rate |
254 / 68 = 3.74 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
321 |
- |
| Settlements |
2 |
- |
| Avg Days in Trade |
3.09 |
2342 |
| Cumulative Return |
242.28% |
76.3% |
| CAGR |
21.14% |
9.24% |
| Max Drawdown |
-30.07% |
-33.71% |
| Sharpe |
1.02 |
0.54 |
| Alpha |
0.17 |
- |
| Beta |
0.02 |
- |
| Kelly Criterion |
13.66 |
-22.25 |
| Profit Factor |
1.72 |
1.11 |
| Probabilistic Sharpe |
98.18% |
92.98% |
| Smart Sharpe |
1.02 |
0.53 |
| Annual Volatility |
17.18% |
16.17% |
| Omega |
1.72 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-0.82% |
-1.73% |
| Avg Drawdown Days |
11 |
17 |
| Avg Up Month |
3.21 |
2.86 |
| Avg Down Month |
-3.88% |
-6.32% |
| R^2 |
0 |
0 |
| Calmar |
0.7 |
0.27 |
| Treynor |
9725.16 |
- |