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June 11, 2021 16:45
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Start date 2016-01-04 | |
End date 2017-12-29 | |
Total months 23 | |
Backtest | |
--------- | |
Annual return 9.7% | |
Cumulative returns 20.2% | |
Annual volatility 7.5% | |
Sharpe ratio 1.27 | |
Calmar ratio 1.96 | |
Stability 0.91 | |
Max drawdown -4.9% | |
Omega ratio 1.62 | |
Sortino ratio 2.4 | |
Skew 3.63 | |
Kurtosis 45.14 | |
Tail ratio 1.6 | |
Daily value at risk -0.9% | |
Alpha 0.08 | |
Beta 0.1 |
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