| Overall Statistics |
|
Total Orders 42853 Average Win 0.01% Average Loss -0.01% Compounding Annual Return 15.538% Drawdown 21.200% Expectancy 0.299 Start Equity 10000000 End Equity 17178042.39 Net Profit 71.780% Sharpe Ratio 0.501 Sortino Ratio 0.627 Probabilistic Sharpe Ratio 10.119% Loss Rate 25% Win Rate 75% Profit-Loss Ratio 0.72 Alpha 0.013 Beta 1.133 Annual Standard Deviation 0.135 Annual Variance 0.018 Information Ratio 0.523 Tracking Error 0.038 Treynor Ratio 0.06 Total Fees $57600.36 Estimated Strategy Capacity $27000.00 Lowest Capacity Asset CRNX WW9XG7RIXAAT Portfolio Turnover 1.03% Drawdown Recovery 220 |
