Backtest Statistics
Start:
2020-12-01 00:00:00+08:00
End:
2021-04-02 00:00:00+08:00
Duration:
122 days 00:00:00
Trading Period:
0 years 4 months 1 days
Beginning Balance:
$200,000.00
Ending Balance:
$808,739.45
Total Net Profit:
$608,739.45
Annualized Return:
61.66%
Return on Initial Capital:
304.37%
Profit Factor:
296.46%
Gross Profit:
$918,591.85
Gross Loss:
$-309,852.40
Total Return:
304.37%
Max Return:
304.37%
Min Return:
0.0%
Number of Trades:
434
Number of Winning Trades:
114
Number of Losing Trades:
104
Win Ratio:
26.27%
Loss Ratio:
23.96%
Win Days:
58
Loss Days:
10
Max Win in Day:
$82,744.64
Max Loss in Day:
$-19,325.14
Sharpe Ratio:
3.1019
Sortino Ratio:
14.1253
Annualized Volatitlity:
14.43%
Information Ratio:
0.78%
Omega Ratio:
0.44%
Downside Risk:
3.48%
Beta:
-0.1132
Alpha:
-1.0
Calmar Ratio:
11.0855
Tail Ratio:
4.6648
Stability of Timeseries:
89.9122%
Max Drawdown:
5.5623%
Max Drawdown Duration:
3 days 16:00:00
sqn:
5.4123