| Metric |
Strategy |
SPX |
|---|
| Trade Count |
245 |
1 |
| Win/Loss rate |
124 / 121 = 1.02 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
80 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
19.71 |
1458 |
| Cumulative Return |
71.8% |
75.43% |
| CAGR |
14.51% |
15.11% |
| Max Drawdown |
-39.89% |
-25.39% |
| Sharpe |
0.6 |
0.92 |
| Alpha |
0.2 |
- |
| Beta |
-0.14 |
- |
| Kelly Criterion |
0.06 |
-11.89 |
| Profit Factor |
1.09 |
1.14 |
| Probabilistic Sharpe |
88.14% |
96.66% |
| Smart Sharpe |
0.57 |
0.88 |
| Annual Volatility |
30.43% |
16.78% |
| Omega |
1.09 |
- |
| Information ratio |
0 |
- |
| Avg Drawdown |
-3.95% |
-1.12% |
| Avg Drawdown Days |
22 |
12 |
| Avg Up Month |
5.08 |
4.07 |
| Avg Down Month |
-5.29% |
-3.35% |
| R^2 |
0.01 |
0.01 |
| Calmar |
0.36 |
0.6 |
| Treynor |
-524.56 |
- |