| Metric |
Strategy |
RUT |
|---|
| Trade Count |
49 |
1 |
| Win/Loss rate |
19 / 30 = 0.63 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
4 |
- |
| Max DIT Reaches |
45 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6.82 |
360 |
| Cumulative Return |
72.85% |
17.22% |
| CAGR |
74.17% |
17.48% |
| Max Drawdown |
-58.07% |
-13.64% |
| Sharpe |
1.05 |
0.85 |
| Alpha |
1.22 |
- |
| Beta |
-0.82 |
- |
| Kelly Criterion |
-2.11 |
-30.65 |
| Profit Factor |
1.29 |
1.15 |
| Probabilistic Sharpe |
85.75% |
80.23% |
| Smart Sharpe |
0.81 |
0.66 |
| Annual Volatility |
102.29% |
21.43% |
| Omega |
1.29 |
- |
| Information ratio |
0.05 |
- |
| Avg Drawdown |
-11.26% |
-5.84% |
| Avg Drawdown Days |
37 |
55 |
| Avg Up Month |
18.16 |
4.21 |
| Avg Down Month |
-15.04% |
-3.52% |
| R^2 |
0.03 |
0.03 |
| Calmar |
1.28 |
1.28 |
| Treynor |
-88.38 |
- |