| Metric |
Strategy |
RUT |
|---|
| Trade Count |
3 |
1 |
| Win/Loss rate |
1 / 2 = 0.5 |
- |
| Adjustments |
4 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
3 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
90.67 |
361 |
| Cumulative Return |
-1.66% |
-22.67% |
| CAGR |
-1.67% |
-22.89% |
| Max Drawdown |
-52.88% |
-27.26% |
| Sharpe |
0.45 |
-0.79 |
| Alpha |
0.96 |
- |
| Beta |
2.49 |
- |
| Kelly Criterion |
8.4 |
-9.86 |
| Profit Factor |
1.1 |
0.88 |
| Probabilistic Sharpe |
67.2% |
21.6% |
| Smart Sharpe |
0.44 |
-0.77 |
| Annual Volatility |
92.37% |
27.83% |
| Omega |
1.1 |
- |
| Information ratio |
0.05 |
- |
| Avg Drawdown |
-52.88% |
-27.26% |
| Avg Drawdown Days |
360 |
360 |
| Avg Up Month |
15.19 |
5.66 |
| Avg Down Month |
-15.78% |
-7.35% |
| R^2 |
0.56 |
0.56 |
| Calmar |
-0.03 |
-0.84 |
| Treynor |
-0.66 |
- |