| Metric |
Strategy |
SPX |
|---|
| Trade Count |
33 |
1 |
| Win/Loss rate |
32 / 1 = 32 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
33 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
3.12 |
239 |
| Cumulative Return |
64.37% |
16.43% |
| CAGR |
113.6% |
26.16% |
| Max Drawdown |
-2.23% |
-8.21% |
| Sharpe |
5.5 |
1.54 |
| Alpha |
0.63 |
- |
| Beta |
0.05 |
- |
| Kelly Criterion |
42.56 |
-9.76 |
| Profit Factor |
14.7 |
1.29 |
| Probabilistic Sharpe |
100% |
91.34% |
| Smart Sharpe |
4.76 |
1.33 |
| Annual Volatility |
11.57% |
13.08% |
| Omega |
14.7 |
- |
| Information ratio |
0.16 |
- |
| Avg Drawdown |
-0.12% |
-1.71% |
| Avg Drawdown Days |
0 |
10 |
| Avg Up Month |
6.34 |
3.31 |
| Avg Down Month |
|
|
| R^2 |
0 |
0 |
| Calmar |
50.95 |
3.19 |
| Treynor |
1323.79 |
- |