| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
11 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
11 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
30.55 |
360 |
| Cumulative Return |
194.5% |
29.93% |
| CAGR |
198.95% |
30.41% |
| Max Drawdown |
-15.75% |
-5.43% |
| Sharpe |
2.78 |
2.07 |
| Alpha |
0.45 |
- |
| Beta |
2.68 |
- |
| Kelly Criterion |
31.9 |
3.81 |
| Profit Factor |
1.86 |
1.42 |
| Probabilistic Sharpe |
99.57% |
97.69% |
| Smart Sharpe |
2.14 |
1.6 |
| Annual Volatility |
42.32% |
13.12% |
| Omega |
1.86 |
- |
| Information ratio |
0.18 |
- |
| Avg Drawdown |
-2.38% |
-1.25% |
| Avg Drawdown Days |
3 |
8 |
| Avg Up Month |
12.38 |
3.18 |
| Avg Down Month |
-10.34% |
-1.34% |
| R^2 |
0.69 |
0.69 |
| Calmar |
12.63 |
5.6 |
| Treynor |
72.46 |
- |