| Overall Statistics |
|
Total Orders 991 Average Win 0.01% Average Loss -0.01% Compounding Annual Return 1.917% Drawdown 3.700% Expectancy 0.435 Start Equity 1000000 End Equity 1004727.40 Net Profit 0.473% Sharpe Ratio -0.274 Sortino Ratio -0.428 Probabilistic Sharpe Ratio 22.478% Loss Rate 28% Win Rate 72% Profit-Loss Ratio 1.00 Alpha -0.076 Beta 0.534 Annual Standard Deviation 0.078 Annual Variance 0.006 Information Ratio -1.669 Tracking Error 0.074 Treynor Ratio -0.04 Total Fees $995.30 Estimated Strategy Capacity $760000000.00 Lowest Capacity Asset SPG R735QTJ8XC9X Portfolio Turnover 1.60% Drawdown Recovery 11 |
