| | All trades | Long trades | Short trades | Buy&Hold (SPY) |
|---|
| Initial capital | 1000000.00 | 1000000.00 | 1000000.00 | 1000000.00 |
|---|
| Ending capital | 1312883.12 | 1312883.12 | 1000000.00 | 4125398.06 |
|---|
| Net Profit | 312883.12 | 312883.12 | 0.00 | 3125398.06 |
|---|
| Net Profit % | 31.29% | 31.29% | 0.00% | 312.54% |
|---|
| Exposure % | 20.31% | 20.31% | 0.00% | 100.00% |
|---|
| Net Risk Adjusted Return % | 154.02% | 154.02% | -nan(ind)% | 312.54% |
|---|
| Annual Return % | 1.52% | 1.52% | 0.00% | 8.17% |
|---|
| Risk Adjusted Return % | 7.48% | 7.48% | -nan(ind)% | 8.17% |
|---|
| Transaction costs | 0.00 | 0.00 | 0.00 | 0.00 |
|---|
|
| All trades | 355 | 355 (100.00 %) | 0 (0.00 %) | 1 |
|---|
| Avg. Profit/Loss | 881.36 | 881.36 | -nan(ind) | 3125398.06 |
|---|
| Avg. Profit/Loss % | -0.54% | -0.54% | -nan(ind)% | 312.54% |
|---|
| Avg. Bars Held | 131.53 | 131.53 | -nan(ind) | 4543.00 |
|---|
|
| Winners | 120 (33.80 %) | 120 (33.80 %) | 0 (0.00 %) | 1 (100.00 %) |
|---|
| Total Profit | 429291.72 | 429291.72 | 0.00 | 3125398.06 |
|---|
| Avg. Profit | 3577.43 | 3577.43 | -nan(ind) | 3125398.06 |
|---|
| Avg. Profit % | 6.89% | 6.89% | -nan(ind)% | 312.54% |
|---|
| Avg. Bars Held | 241.72 | 241.72 | -nan(ind) | 4543.00 |
|---|
| Max. Consecutive | 14 | 14 | 0 | 1 |
|---|
| Largest win | 79823.93 | 79823.93 | 0.00 | 3125398.06 |
|---|
| # bars in largest win | 822 | 822 | 0 | 4543 |
|---|
|
| Losers | 235 (66.20 %) | 235 (66.20 %) | 0 (0.00 %) | 0 (0.00 %) |
|---|
| Total Loss | -116408.60 | -116408.60 | 0.00 | 0.00 |
|---|
| Avg. Loss | -495.36 | -495.36 | -nan(ind) | -nan(ind) |
|---|
| Avg. Loss % | -4.34% | -4.34% | -nan(ind)% | -nan(ind)% |
|---|
| Avg. Bars Held | 75.26 | 75.26 | -nan(ind) | -nan(ind) |
|---|
| Max. Consecutive | 25 | 25 | 0 | 0 |
|---|
| Largest loss | -3523.50 | -3523.50 | 0.00 | 0.00 |
|---|
| # bars in largest loss | 86 | 86 | 0 | 0 |
|---|
|
| Max. trade drawdown | -31957.79 | -31957.79 | 0.00 | -1267047.33 |
|---|
| Max. trade % drawdown | -22.16 | -22.16 | 0.00 | -56.47 |
|---|
| Max. system drawdown | -71574.69 | -71574.69 | 0.00 | -1267047.33 |
|---|
| Max. system % drawdown | -6.24% | -6.24% | 0.00% | -56.47% |
|---|
| Recovery Factor | 4.37 | 4.37 | nan | 2.47 |
|---|
| CAR/MaxDD | 0.24 | 0.24 | nan | 0.14 |
|---|
| RAR/MaxDD | 1.20 | 1.20 | nan | 0.14 |
|---|
| Profit Factor | 3.69 | 3.69 | nan | inf |
|---|
| Payoff Ratio | 7.22 | 7.22 | nan | nan |
|---|
| Standard Error | 21015.43 | 21015.43 | 0.00 | 348764.67 |
|---|
| Risk-Reward Ratio | 0.77 | 0.77 | -nan(ind) | 0.38 |
|---|
| Ulcer Index | 2.32 | 2.32 | 0.00 | 14.46 |
|---|
| Ulcer Performance Index | -1.67 | -1.67 | -inf | 0.19 |
|---|
| Sharpe Ratio of trades | -0.56 | -0.56 | 0.00 | inf |
|---|
| K-Ratio | 0.06 | 0.06 | -nan(ind) | 0.03 |
|---|