| Metric |
Strategy |
SPX |
|---|
| Trade Count |
183 |
1 |
| Win/Loss rate |
170 / 13 = 13.08 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
183 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
7.05 |
1395 |
| Cumulative Return |
283.53% |
54.71% |
| CAGR |
42.15% |
12.1% |
| Max Drawdown |
-56.81% |
-32.69% |
| Sharpe |
1 |
0.68 |
| Alpha |
0.34 |
- |
| Beta |
0.75 |
- |
| Kelly Criterion |
2.48 |
-11.68 |
| Profit Factor |
1.41 |
1.13 |
| Probabilistic Sharpe |
98.92% |
90.53% |
| Smart Sharpe |
0.93 |
0.63 |
| Annual Volatility |
44.54% |
19.81% |
| Omega |
1.41 |
- |
| Information ratio |
0.05 |
- |
| Avg Drawdown |
-2.55% |
-1.75% |
| Avg Drawdown Days |
9 |
13 |
| Avg Up Month |
5.86 |
4.53 |
| Avg Down Month |
-13.54% |
-8.8% |
| R^2 |
0.11 |
0.11 |
| Calmar |
0.74 |
0.37 |
| Treynor |
378.61 |
- |