| Metric |
Strategy |
RUT |
|---|
| Trade Count |
77 |
1 |
| Win/Loss rate |
38 / 39 = 0.97 |
- |
| Adjustments |
0 |
- |
| PT Hits |
38 |
- |
| SL Hits |
39 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
1.52 |
545 |
| Cumulative Return |
-7.22% |
8.67% |
| CAGR |
-4.89% |
5.73% |
| Max Drawdown |
-6.76% |
-28.11% |
| Sharpe |
-0.97 |
0.36 |
| Alpha |
-0.06 |
- |
| Beta |
0.09 |
- |
| Kelly Criterion |
-20.35 |
1.91 |
| Profit Factor |
0.7 |
1.06 |
| Probabilistic Sharpe |
10.36% |
66.93% |
| Smart Sharpe |
-0.97 |
0.36 |
| Annual Volatility |
5.05% |
22.85% |
| Omega |
0.7 |
- |
| Information ratio |
-0.04 |
- |
| Avg Drawdown |
-2.47% |
-5.4% |
| Avg Drawdown Days |
131 |
34 |
| Avg Up Month |
0.65 |
3.94 |
| Avg Down Month |
-1.32% |
-4.67% |
| R^2 |
0.18 |
0.18 |
| Calmar |
-0.72 |
0.2 |
| Treynor |
-77.38 |
- |