Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 96.0% |
Cumulative Return | 63.33% | 71.75% |
CAGR﹪ | 6.6% | 7.3% |
Sharpe | -40.01 | -387.95 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -25.58 | -248.06 |
Sortino | -15.15 | -15.86 |
Smart Sortino | -9.69 | -10.14 |
Sortino/√2 | -10.71 | -11.22 |
Smart Sortino/√2 | -6.85 | -7.17 |
Omega | 0.01 | 0.01 |
Max Drawdown | -8.35% | -0.3% |
Longest DD Days | 283 | 4 |
Volatility (ann.) | 5.05% | 0.52% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.79 | 24.31 |
Skew | 0.68 | 3.46 |
Kurtosis | 674.8 | 41.38 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.53% | 0.58% |
Expected Yearly | 5.6% | 6.19% |
Kelly Criterion | -606.24% | 96.93% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.5% | -0.02% |
Expected Shortfall (cVaR) | -0.5% | -0.02% |
Max Consecutive Wins | 76 | 108 |
Max Consecutive Losses | 2 | 2 |
Gain/Pain Ratio | 2.7 | 130.77 |
Gain/Pain (1M) | 10.18 | - |
Payoff Ratio | 0.01 | 0.51 |
Profit Factor | 3.7 | 131.77 |
Common Sense Ratio | 19.96 | - |
CPC Index | 0.04 | 65.86 |
Tail Ratio | 5.39 | - |
Outlier Win Ratio | 3.9 | 5.33 |
Outlier Loss Ratio | 0.2 | 1.02 |
MTD | -4.92% | 0.03% |
3M | -3.79% | 1.21% |
6M | -2.43% | 2.66% |
YTD | -4.57% | 0.52% |
1Y | -0.72% | 4.76% |
3Y (ann.) | 3.22% | 4.99% |
5Y (ann.) | 4.55% | 5.62% |
10Y (ann.) | 6.6% | 7.3% |
All-time (ann.) | 6.6% | 7.3% |
Best Day | 9.18% | 0.52% |
Worst Day | -8.35% | -0.29% |
Best Month | 1.64% | 1.42% |
Worst Month | -4.92% | 0.03% |
Best Year | 13.49% | 12.8% |
Worst Year | -4.57% | 0.52% |
Avg. Drawdown | -0.12% | -0.03% |
Avg. Drawdown Days | 4 | 2 |
Recovery Factor | 7.58 | 238.88 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | -47.72 | -242391.85 |
Avg. Up Month | 0.59% | 0.59% |
Avg. Down Month | - | - |
Win Days | 90.71% | 98.97% |
Win Month | 98.92% | 100.0% |
Win Quarter | 96.88% | 100.0% |
Win Year | 88.89% | 100.0% |
Beta | 0.56 | - |
Alpha | 0.03 | - |
Correlation | 5.73% | - |
Treynor Ratio | -1143.5% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 4.72 | 4.27 | 0.90 | - |
2015 | 12.80 | 13.49 | 1.05 | + |
2016 | 9.03 | 9.00 | 1.00 | - |
2017 | 7.88 | 7.98 | 1.01 | + |
2018 | 5.66 | 5.90 | 1.04 | + |
2019 | 6.64 | 6.33 | 0.95 | - |
2020 | 4.20 | 4.44 | 1.06 | + |
2021 | 4.74 | 4.49 | 0.95 | - |
2022 | 0.52 | -4.57 | -8.72 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2015-04-07 | 2016-01-15 | -8.35 | 283 |
2022-02-24 | 2022-02-25 | -5.27 | 1 |
2014-10-15 | 2014-11-21 | -0.88 | 37 |
2020-03-13 | 2020-03-20 | -0.35 | 7 |
2021-09-21 | 2021-09-30 | -0.15 | 9 |
2019-03-27 | 2019-03-28 | -0.13 | 1 |
2020-10-02 | 2020-10-14 | -0.10 | 12 |
2019-05-23 | 2019-05-30 | -0.10 | 7 |
2018-11-07 | 2018-11-13 | -0.09 | 6 |
2019-05-13 | 2019-05-17 | -0.09 | 4 |