| Metric |
Strategy |
SPX |
|---|
| Trade Count |
50 |
1 |
| Win/Loss rate |
21 / 29 = 0.72 |
- |
| Adjustments |
116 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
3 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.92 |
361 |
| Cumulative Return |
80.3% |
-20.33% |
| CAGR |
81.49% |
-20.53% |
| Max Drawdown |
-32.06% |
-25.39% |
| Sharpe |
1.33 |
-0.85 |
| Alpha |
1.1 |
- |
| Beta |
1.75 |
- |
| Kelly Criterion |
15.87 |
-16.98 |
| Profit Factor |
1.34 |
0.87 |
| Probabilistic Sharpe |
90.83% |
19.9% |
| Smart Sharpe |
1.32 |
-0.84 |
| Annual Volatility |
56.65% |
23.62% |
| Omega |
1.34 |
- |
| Information ratio |
0.14 |
- |
| Avg Drawdown |
-5.21% |
-25.39% |
| Avg Drawdown Days |
13 |
360 |
| Avg Up Month |
16.26 |
5.83 |
| Avg Down Month |
-4.74% |
-6.2% |
| R^2 |
0.53 |
0.53 |
| Calmar |
2.54 |
-0.81 |
| Treynor |
45.98 |
- |