| Metric |
Strategy |
RUT |
|---|
| Trade Count |
9 |
1 |
| Win/Loss rate |
9 / 0 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
0 |
- |
| Settlements |
36 |
- |
| Avg Days in Trade |
18.4 |
300 |
| Cumulative Return |
3.81% |
-6.64% |
| CAGR |
4.65% |
-8.02% |
| Max Drawdown |
-0.98% |
-17.95% |
| Sharpe |
1.92 |
-0.32 |
| Alpha |
0.05 |
- |
| Beta |
0.01 |
- |
| Kelly Criterion |
2.9 |
-9.64 |
| Profit Factor |
1.43 |
0.95 |
| Probabilistic Sharpe |
95.36% |
38.47% |
| Smart Sharpe |
1.2 |
-0.2 |
| Annual Volatility |
2.37% |
19.78% |
| Omega |
1.43 |
- |
| Information ratio |
0.03 |
- |
| Avg Drawdown |
-0.19% |
-6.23% |
| Avg Drawdown Days |
6 |
47 |
| Avg Up Month |
0.4 |
7.58 |
| Avg Down Month |
|
|
| R^2 |
0 |
0 |
| Calmar |
4.74 |
-0.45 |
| Treynor |
532.02 |
- |