| Metric |
Strategy |
SPX |
|---|
| Trade Count |
91 |
1 |
| Win/Loss rate |
70 / 21 = 3.33 |
- |
| Adjustments |
0 |
- |
| PT Hits |
42 |
- |
| SL Hits |
11 |
- |
| Max DIT Reaches |
43 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.76 |
618 |
| Cumulative Return |
75.62% |
44.73% |
| CAGR |
39.46% |
24.4% |
| Max Drawdown |
-22.51% |
-10.18% |
| Sharpe |
1.34 |
1.67 |
| Alpha |
0.26 |
- |
| Beta |
0.5 |
- |
| Kelly Criterion |
3.35 |
-0.88 |
| Profit Factor |
1.36 |
1.33 |
| Probabilistic Sharpe |
94.05% |
98.52% |
| Smart Sharpe |
1.28 |
1.59 |
| Annual Volatility |
27.89% |
13.68% |
| Omega |
1.36 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-2.38% |
-1.79% |
| Avg Drawdown Days |
11 |
14 |
| Avg Up Month |
4.57 |
4.05 |
| Avg Down Month |
-3.51% |
-4.43% |
| R^2 |
0.06 |
0.06 |
| Calmar |
1.75 |
2.4 |
| Treynor |
151.51 |
- |