Strategy Report: Futures Daily Rebalance

| Strategy Description

Key StatisticsBacktestLiveBacktestLive
Runtime Days53{{$KPI-DAYS-LIVE}} Drawdown109.9%{{$KPI-LIVE-DRAWDOWN}}
Turnover0%{{$KPI-LIVE-TURNOVER}} Probabilistic SR0%{{$KPI-LIVE-PSR}}
CAGR0.0%{{$KPI-LIVE-CAGR}} Sharpe Ratio-0.4{{$KPI-LIVE-SHARPE}}
Markets FutureFuture Information Ratio-0.4{{$KPI-LIVE-INFORMATION-RATIO}}
Trades per Day0.1{{$KPI-LIVE-TRADES-PER-DAY}} Strategy Capacity (USD)340M
Monthly Returns
Cumulative Returns
Annual Returns
Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Futures Daily Rebalance
Daily Returns
Rolling Portfolio Beta
Rolling Sharpe Ratio
Leverage
Long-Short Exposure
Strategy Report Summary: Futures Daily Rebalance
Global Financial Crisis 2007
Recovery 2010-2012