| Overall Statistics |
|
Total Orders 750 Average Win 3.20% Average Loss -0.62% Compounding Annual Return 30.481% Drawdown 21.100% Expectancy 2.094 Start Equity 500000000 End Equity 60664445373.63 Net Profit 12032.889% Sharpe Ratio 1.166 Sortino Ratio 1.268 Probabilistic Sharpe Ratio 79.211% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 5.14 Alpha 0.184 Beta 0.256 Annual Standard Deviation 0.172 Annual Variance 0.029 Information Ratio 0.657 Tracking Error 0.206 Treynor Ratio 0.783 Total Fees $261011593.11 Estimated Strategy Capacity $210000000.00 Lowest Capacity Asset FB V6OIPNZEM8V9 Portfolio Turnover 2.69% |
