Backtest Statistics
Start:
2020-12-01 00:00:00+08:00
End:
2021-03-12 00:00:00+08:00
Duration:
101 days 00:00:00
Trading Period:
0 years 3 months 11 days
Beginning Balance:
$200,000.00
Ending Balance:
$400,655.75
Total Net Profit:
$200,655.75
Annualized Return:
33.44%
Return on Initial Capital:
100.33%
Profit Factor:
369.19%
Gross Profit:
$275,195.19
Gross Loss:
$-74,539.44
Total Return:
100.33%
Max Return:
100.93%
Min Return:
0.0%
Number of Trades:
165
Number of Winning Trades:
50
Number of Losing Trades:
35
Win Ratio:
30.3%
Loss Ratio:
21.21%
Win Days:
26
Loss Days:
7
Max Win in Day:
$26,422.12
Max Loss in Day:
$-4,625.38
Sharpe Ratio:
2.4817
Sortino Ratio:
10.5412
Annualized Volatitlity:
10.08%
Information Ratio:
-3.68%
Omega Ratio:
0.06%
Downside Risk:
2.79%
Beta:
-0.0173
Alpha:
-1.0
Calmar Ratio:
11.6252
Tail Ratio:
3.306
Stability of Timeseries:
82.7576%
Max Drawdown:
2.8761%
Max Drawdown Duration:
4 days 12:00:00
sqn:
4.5755