| Metric |
Strategy |
RUT |
|---|
| Trade Count |
26 |
1 |
| Win/Loss rate |
14 / 12 = 1.17 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
3 |
- |
| Max DIT Reaches |
19 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
5.92 |
361 |
| Cumulative Return |
77.86% |
-22.26% |
| CAGR |
79% |
-22.48% |
| Max Drawdown |
-28.29% |
-27.08% |
| Sharpe |
1.29 |
-0.78 |
| Alpha |
0.68 |
- |
| Beta |
-0.28 |
- |
| Kelly Criterion |
-3.65 |
-63.77 |
| Profit Factor |
1.44 |
0.88 |
| Probabilistic Sharpe |
91.29% |
21.78% |
| Smart Sharpe |
1.23 |
-0.75 |
| Annual Volatility |
57.13% |
27.45% |
| Omega |
1.44 |
- |
| Information ratio |
0.09 |
- |
| Avg Drawdown |
-9.24% |
-27.08% |
| Avg Drawdown Days |
49 |
360 |
| Avg Up Month |
4.16 |
1.94 |
| Avg Down Month |
-4.41% |
-5.93% |
| R^2 |
0.02 |
0.02 |
| Calmar |
2.79 |
-0.83 |
| Treynor |
-273.62 |
- |