| Metric |
Strategy |
SPX |
|---|
| Trade Count |
15 |
1 |
| Win/Loss rate |
0 / 15 = 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
15 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
0 |
270 |
| Cumulative Return |
40.68% |
-24.62% |
| CAGR |
58.64% |
-31.75% |
| Max Drawdown |
-15.78% |
-25.36% |
| Sharpe |
0.24 |
-0.18 |
| Alpha |
0.01 |
- |
| Beta |
0.03 |
- |
| Kelly Criterion |
2.86 |
-37.62 |
| Profit Factor |
1.09 |
0.96 |
| Probabilistic Sharpe |
95.7% |
9.15% |
| Smart Sharpe |
0.23 |
-0.17 |
| Annual Volatility |
2.78% |
2.71% |
| Omega |
1.09 |
- |
| Information ratio |
0.02 |
- |
| Avg Drawdown |
-0.34% |
-3.72% |
| Avg Drawdown Days |
1 |
38 |
| Avg Up Month |
8.21 |
4.34 |
| Avg Down Month |
-3.07% |
-4.41% |
| R^2 |
0 |
0 |
| Calmar |
3.72 |
-1.25 |
| Treynor |
1616.4 |
- |