| Metric |
Strategy |
SPX |
|---|
| Trade Count |
19 |
1 |
| Win/Loss rate |
15 / 4 = 3.75 |
- |
| Adjustments |
0 |
- |
| PT Hits |
15 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
4 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
32.05 |
678 |
| Cumulative Return |
49.7% |
44.56% |
| CAGR |
24.26% |
21.94% |
| Max Drawdown |
-14.65% |
-18.63% |
| Sharpe |
1.41 |
1.32 |
| Alpha |
0.05 |
- |
| Beta |
0.86 |
- |
| Kelly Criterion |
11.93 |
13.92 |
| Profit Factor |
1.3 |
1.29 |
| Probabilistic Sharpe |
97.72% |
96.51% |
| Smart Sharpe |
1.3 |
1.22 |
| Annual Volatility |
16.33% |
16.08% |
| Omega |
1.3 |
- |
| Information ratio |
0.01 |
- |
| Avg Drawdown |
-1.83% |
-1.75% |
| Avg Drawdown Days |
14 |
12 |
| Avg Up Month |
4.19 |
3.12 |
| Avg Down Month |
-4.73% |
-2.62% |
| R^2 |
0.71 |
0.71 |
| Calmar |
1.66 |
1.18 |
| Treynor |
58.1 |
- |