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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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