| Metric |
Strategy |
SPX |
|---|
| Trade Count |
67 |
1 |
| Win/Loss rate |
57 / 10 = 5.7 |
- |
| Adjustments |
0 |
- |
| PT Hits |
57 |
- |
| SL Hits |
10 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.07 |
247 |
| Cumulative Return |
-8.67% |
16.31% |
| CAGR |
-12.54% |
25.02% |
| Max Drawdown |
-19.44% |
-9.12% |
| Sharpe |
-0.53 |
1.71 |
| Alpha |
-0.39 |
- |
| Beta |
1.21 |
- |
| Kelly Criterion |
-11.9 |
7.98 |
| Profit Factor |
0.83 |
1.35 |
| Probabilistic Sharpe |
30.44% |
89.56% |
| Smart Sharpe |
-0.43 |
1.39 |
| Annual Volatility |
20.76% |
13.59% |
| Omega |
0.83 |
- |
| Information ratio |
-0.17 |
- |
| Avg Drawdown |
-1.3% |
-1.35% |
| Avg Drawdown Days |
7 |
9 |
| Avg Up Month |
2.21 |
3.43 |
| Avg Down Month |
-1.44% |
-3.01% |
| R^2 |
0.63 |
0.63 |
| Calmar |
-0.64 |
2.74 |
| Treynor |
-7.16 |
- |