Overall Statistics
Total Trades
3780
Average Win
0.26%
Average Loss
-0.27%
Compounding Annual Return
30.004%
Drawdown
23.700%
Expectancy
0.511
Net Profit
1489.861%
Sharpe Ratio
1.239
Probabilistic Sharpe Ratio
63.152%
Loss Rate
22%
Win Rate
78%
Profit-Loss Ratio
0.94
Alpha
0.187
Beta
0.636
Annual Standard Deviation
0.219
Annual Variance
0.048
Information Ratio
0.679
Tracking Error
0.204
Treynor Ratio
0.427
Total Fees
$12773.86
Estimated Strategy Capacity
$1100000.00
Lowest Capacity Asset
TMF UBTUG7D0B7TX