| Metric |
Strategy |
RUT |
|---|
| Trade Count |
58 |
1 |
| Win/Loss rate |
36 / 22 = 1.64 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
20 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
20.64 |
360 |
| Cumulative Return |
104.78% |
16.12% |
| CAGR |
106.82% |
16.36% |
| Max Drawdown |
-27.42% |
-12.15% |
| Sharpe |
1.57 |
0.82 |
| Alpha |
1 |
- |
| Beta |
-0.7 |
- |
| Kelly Criterion |
3.49 |
-34.32 |
| Profit Factor |
1.31 |
1.14 |
| Probabilistic Sharpe |
93.86% |
79.12% |
| Smart Sharpe |
1.44 |
0.75 |
| Annual Volatility |
56.04% |
21.13% |
| Omega |
1.31 |
- |
| Information ratio |
0.07 |
- |
| Avg Drawdown |
-5.81% |
-5.27% |
| Avg Drawdown Days |
11 |
42 |
| Avg Up Month |
16.01 |
3.39 |
| Avg Down Month |
-0.75% |
-8.1% |
| R^2 |
0.07 |
0.07 |
| Calmar |
3.9 |
1.35 |
| Treynor |
-149.92 |
- |