| Metric |
Strategy |
SPX |
|---|
| Trade Count |
11 |
1 |
| Win/Loss rate |
8 / 3 = 2.67 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
1 |
- |
| Settlements |
20 |
- |
| Avg Days in Trade |
10.61 |
361 |
| Cumulative Return |
62.56% |
-19.91% |
| CAGR |
63.44% |
-20.11% |
| Max Drawdown |
-12.71% |
-26.7% |
| Sharpe |
2.39 |
-0.83 |
| Alpha |
0.37 |
- |
| Beta |
-0.74 |
- |
| Kelly Criterion |
23.04 |
9.22 |
| Profit Factor |
1.36 |
0.91 |
| Probabilistic Sharpe |
99.31% |
20.51% |
| Smart Sharpe |
2.22 |
-0.77 |
| Annual Volatility |
21.52% |
23.71% |
| Omega |
1.36 |
- |
| Information ratio |
0.07 |
- |
| Avg Drawdown |
-2.29% |
-26.7% |
| Avg Drawdown Days |
8 |
360 |
| Avg Up Month |
2.15 |
0.35 |
| Avg Down Month |
|
|
| R^2 |
0.67 |
0.67 |
| Calmar |
4.99 |
-0.75 |
| Treynor |
-84.52 |
- |