Backtest Statistics
Start:
2021-02-01 00:00:00+08:00
End:
2021-03-30 00:00:00+08:00
Duration:
57 days 00:00:00
Trading Period:
0 years 1 months 29 days
Beginning Balance:
$55,800.00
Ending Balance:
$119,615.14
Total Net Profit:
$63,815.14
Annualized Return:
0.23%
Return on Initial Capital:
114.36%
Profit Factor:
100.95%
Gross Profit:
$6,766,284.21
Gross Loss:
$-6,702,469.07
Total Return:
114.36%
Max Return:
165.13%
Min Return:
-1.32%
Number of Trades:
1
Number of Winning Trades:
0
Number of Losing Trades:
0
Win Ratio:
0.0%
Loss Ratio:
0.0%
Win Days:
35
Loss Days:
23
Max Win in Day:
$18,069.28
Max Loss in Day:
$-21,799.86
Sharpe Ratio:
-1.1509
Sortino Ratio:
0.1174
Annualized Volatitlity:
3.58%
Information Ratio:
0.23%
Omega Ratio:
0.0%
Downside Risk:
2.54%
Beta:
0.9746
Alpha:
-0.2456
Calmar Ratio:
0.0063
Tail Ratio:
1.0064
Stability of Timeseries:
55.3711%
Max Drawdown:
37.2929%
Max Drawdown Duration:
2 days 14:43:00
sqn:
1.1417