| Metric | Value |
|---|---|
| annual_return | 0.048139 |
| annual_vol | 0.100512 |
| sharpe | 0.478936 |
| max_drawdown | 0.312416 |
| calmar | 0.154086 |
| benchmark_return | 0.148237 |
| benchmark_vol | 0.338202 |
| benchmark_sharpe | 0.438308 |
| benchmark_max_drawdown | 0.601496 |
| sharpe_delta | 0.040628 |
| drawdown_improvement_ratio | 0.480603 |
| upside_capture | 0.258052 |
| downside_capture | 0.256960 |
| annual_turnover | 8.485884 |
| tracking_diff_mean | -0.000032 |
| tracking_diff_abs_mean | 0.000032 |
| tracking_error_20_p95 | 0.000098 |
| State | Weight |
|---|---|
| chop | 0.610415 |
| risk_off | 0.297956 |
| trend | 0.091628 |