KNN1645

Backtest Statistics

Start: 2018-12-01 00:00:00+08:00

End: 2021-03-12 00:00:00+08:00

Duration: 832 days 00:00:00

Trading Period: 2 years 3 months 11 days

Beginning Balance: $55,800.00

Ending Balance: $85,954.68

Total Net Profit: $30,154.68

Annualized Return: 13.96%

Return on Initial Capital: 54.04%

Profit Factor: 375.84%

Gross Profit: $41,086.58

Gross Loss: $-10,931.90

Total Return: 54.04%

Max Return: 54.04%

Min Return: -0.72%

Number of Trades: 228

Number of Winning Trades: 67

Number of Losing Trades: 50

Win Ratio: 29.39%

Loss Ratio: 21.93%

Win Days: 80

Loss Days: 60

Max Win in Day: $3,979.25

Max Loss in Day: $-1,187.88

Sharpe Ratio: 1.5281

Sortino Ratio: 8.6717

Annualized Volatitlity: 5.78%

Information Ratio: -0.03%

Omega Ratio: 0.02%

Downside Risk: 1.53%

Beta: -0.0009

Alpha: -1.0

Calmar Ratio: 3.1942

Tail Ratio: 3.0369

Stability of Timeseries: 69.1872%

Max Drawdown: 4.3714%

Max Drawdown Duration: 8 days 00:00:00

sqn: 4.892