| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
10 / 1 = 10 |
- |
| Adjustments |
55 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
32.55 |
360 |
| Cumulative Return |
201.69% |
29.93% |
| CAGR |
206.35% |
30.41% |
| Max Drawdown |
-31.62% |
-5.43% |
| Sharpe |
2.15 |
2.08 |
| Alpha |
0.4 |
- |
| Beta |
3.33 |
- |
| Kelly Criterion |
18.4 |
9.1 |
| Profit Factor |
1.63 |
1.43 |
| Probabilistic Sharpe |
97.67% |
97.69% |
| Smart Sharpe |
1.76 |
1.7 |
| Annual Volatility |
60.73% |
13.16% |
| Omega |
1.63 |
- |
| Information ratio |
0.13 |
- |
| Avg Drawdown |
-4.46% |
-1.24% |
| Avg Drawdown Days |
6 |
8 |
| Avg Up Month |
18.55 |
3.47 |
| Avg Down Month |
-10.08% |
-1.34% |
| R^2 |
0.52 |
0.52 |
| Calmar |
6.53 |
5.6 |
| Treynor |
60.55 |
- |