| Metric |
Strategy |
RUT |
|---|
| Trade Count |
67 |
1 |
| Win/Loss rate |
39 / 28 = 1.39 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
10 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
16.01 |
361 |
| Cumulative Return |
87.71% |
-22.67% |
| CAGR |
89.02% |
-22.89% |
| Max Drawdown |
-19.65% |
-27.26% |
| Sharpe |
1.76 |
-0.79 |
| Alpha |
0.62 |
- |
| Beta |
-0.44 |
- |
| Kelly Criterion |
11.92 |
-31.02 |
| Profit Factor |
1.37 |
0.88 |
| Probabilistic Sharpe |
95.36% |
21.59% |
| Smart Sharpe |
1.69 |
-0.75 |
| Annual Volatility |
40.41% |
27.77% |
| Omega |
1.37 |
- |
| Information ratio |
0.11 |
- |
| Avg Drawdown |
-5.16% |
-27.26% |
| Avg Drawdown Days |
14 |
360 |
| Avg Up Month |
14.43 |
4.39 |
| Avg Down Month |
-3.1% |
-5.65% |
| R^2 |
0.09 |
0.09 |
| Calmar |
4.53 |
-0.84 |
| Treynor |
-200.56 |
- |