| Metric |
Strategy |
SPX |
|---|
| Trade Count |
151 |
1 |
| Win/Loss rate |
129 / 22 = 5.86 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
15 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
3 |
- |
| Avg Days in Trade |
35.67 |
4378 |
| Cumulative Return |
131.77% |
272.66% |
| CAGR |
7.26% |
11.59% |
| Max Drawdown |
-12.41% |
-33.47% |
| Sharpe |
0.99 |
0.76 |
| Alpha |
0.06 |
- |
| Beta |
0.14 |
- |
| Kelly Criterion |
18.61 |
-1.89 |
| Profit Factor |
1.4 |
1.15 |
| Probabilistic Sharpe |
99.96% |
99.5% |
| Smart Sharpe |
0.94 |
0.72 |
| Annual Volatility |
7.35% |
16.29% |
| Omega |
1.4 |
- |
| Information ratio |
-0.02 |
- |
| Avg Drawdown |
-1.12% |
-1.68% |
| Avg Drawdown Days |
33 |
19 |
| Avg Up Month |
2.77 |
2.61 |
| Avg Down Month |
-2.35% |
-3.84% |
| R^2 |
0.1 |
0.1 |
| Calmar |
0.59 |
0.35 |
| Treynor |
940.48 |
- |