| Overall Statistics |
|
Total Orders 846 Average Win 0.55% Average Loss -1.51% Compounding Annual Return 17.570% Drawdown 10.800% Expectancy -0.107 Start Equity 1000000 End Equity 1829364.55 Net Profit 82.936% Sharpe Ratio 0.936 Sortino Ratio 0.85 Probabilistic Sharpe Ratio 36.857% Loss Rate 35% Win Rate 65% Profit-Loss Ratio 0.36 Alpha 0.021 Beta 0.488 Annual Standard Deviation 0.08 Annual Variance 0.006 Information Ratio -0.423 Tracking Error 0.082 Treynor Ratio 0.153 Total Fees $8379.05 Estimated Strategy Capacity $550000.00 Lowest Capacity Asset SPY Z5W3FAT8CHT2|SPY R735QTJ8XC9X Portfolio Turnover 11.85% Drawdown Recovery 131 |
