| Metric |
Strategy |
SPX |
|---|
| Trade Count |
8 |
1 |
| Win/Loss rate |
8 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
8 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.38 |
360 |
| Cumulative Return |
84.26% |
29.93% |
| CAGR |
85.83% |
30.41% |
| Max Drawdown |
-8.59% |
-5.43% |
| Sharpe |
3.23 |
2.07 |
| Alpha |
0.37 |
- |
| Beta |
0.95 |
- |
| Kelly Criterion |
45.1 |
-3.17 |
| Profit Factor |
2.56 |
1.42 |
| Probabilistic Sharpe |
99.95% |
97.69% |
| Smart Sharpe |
2.78 |
1.78 |
| Annual Volatility |
19.63% |
13.12% |
| Omega |
2.56 |
- |
| Information ratio |
0.15 |
- |
| Avg Drawdown |
-1.13% |
-1.25% |
| Avg Drawdown Days |
3 |
8 |
| Avg Up Month |
6.45 |
3.02 |
| Avg Down Month |
-0.08% |
-1.34% |
| R^2 |
0.41 |
0.41 |
| Calmar |
9.99 |
5.6 |
| Treynor |
88.41 |
- |