| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
6 / 5 = 1.2 |
- |
| Adjustments |
20 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
21.45 |
361 |
| Cumulative Return |
75.03% |
-20.33% |
| CAGR |
76.11% |
-20.53% |
| Max Drawdown |
-34.03% |
-25.39% |
| Sharpe |
1.34 |
-0.85 |
| Alpha |
0.79 |
- |
| Beta |
0.5 |
- |
| Kelly Criterion |
22.96 |
-40.45 |
| Profit Factor |
1.42 |
0.87 |
| Probabilistic Sharpe |
92.63% |
19.89% |
| Smart Sharpe |
1.25 |
-0.79 |
| Annual Volatility |
51.59% |
23.62% |
| Omega |
1.42 |
- |
| Information ratio |
0.11 |
- |
| Avg Drawdown |
-5.57% |
-25.39% |
| Avg Drawdown Days |
25 |
360 |
| Avg Up Month |
9.59 |
6.82 |
| Avg Down Month |
-3.78% |
-7.13% |
| R^2 |
0.05 |
0.05 |
| Calmar |
2.24 |
-0.81 |
| Treynor |
150.57 |
- |