| Metric |
Strategy |
SPX |
|---|
| Trade Count |
120 |
1 |
| Win/Loss rate |
35 / 85 = 0.41 |
- |
| Adjustments |
92 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
112 |
- |
| Avg Days in Trade |
7.91 |
1093 |
| Cumulative Return |
-7.02% |
23.02% |
| CAGR |
-2.4% |
7.16% |
| Max Drawdown |
-9.81% |
-25.39% |
| Sharpe |
-0.48 |
0.49 |
| Alpha |
-0.02 |
- |
| Beta |
-0.07 |
- |
| Kelly Criterion |
-19.22 |
-77.34 |
| Profit Factor |
0.91 |
1.09 |
| Probabilistic Sharpe |
19.95% |
80.08% |
| Smart Sharpe |
-0.47 |
0.49 |
| Annual Volatility |
4.88% |
17.14% |
| Omega |
0.91 |
- |
| Information ratio |
-0.04 |
- |
| Avg Drawdown |
-1.96% |
-2.18% |
| Avg Drawdown Days |
117 |
35 |
| Avg Up Month |
1.01 |
3.37 |
| Avg Down Month |
-1.21% |
-2.86% |
| R^2 |
0.06 |
0.06 |
| Calmar |
-0.24 |
0.28 |
| Treynor |
101.37 |
- |