Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 50.0% | 99.0% |
Cumulative Return | 17.05% | 28.97% |
CAGR﹪ | 3.46% | 5.66% |
Sharpe | -13.56 | -11.26 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -13.16 | -10.92 |
Sortino | -10.76 | -9.67 |
Smart Sortino | -10.45 | -9.39 |
Sortino/√2 | -7.61 | -6.84 |
Smart Sortino/√2 | -7.39 | -6.64 |
Omega | 0.09 | 0.09 |
Max Drawdown | -35.05% | -35.55% |
Longest DD Days | 835 | 777 |
Volatility (ann.) | 15.07% | 17.93% |
R^2 | 0.48 | 0.48 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.1 | 0.16 |
Skew | -1.8 | -1.13 |
Kurtosis | 20.47 | 14.52 |
Expected Daily | 0.01% | 0.02% |
Expected Monthly | 0.28% | 0.46% |
Expected Yearly | 2.66% | 4.33% |
Kelly Criterion | 0.55% | -1.57% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.54% | -1.83% |
Expected Shortfall (cVaR) | -1.54% | -1.83% |
Max Consecutive Wins | 8 | 10 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | 0.08 | 0.08 |
Gain/Pain (1M) | 0.44 | 0.38 |
Payoff Ratio | 0.78 | 0.79 |
Profit Factor | 1.08 | 1.08 |
Common Sense Ratio | 1.13 | 1.03 |
CPC Index | 0.47 | 0.47 |
Tail Ratio | 1.04 | 0.95 |
Outlier Win Ratio | 8.42 | 3.72 |
Outlier Loss Ratio | 3.5 | 4.42 |
MTD | 0.0% | -2.61% |
3M | 0.0% | 6.13% |
6M | 0.0% | 12.19% |
YTD | 0.0% | 4.23% |
1Y | 0.0% | 6.54% |
3Y (ann.) | 0.45% | 4.18% |
5Y (ann.) | 3.46% | 5.66% |
10Y (ann.) | 3.46% | 5.66% |
All-time (ann.) | 3.46% | 5.66% |
Best Day | 6.33% | 8.4% |
Worst Day | -10.22% | -11.48% |
Best Month | 14.69% | 13.73% |
Worst Month | -14.04% | -14.8% |
Best Year | 22.54% | 22.1% |
Worst Year | -8.49% | -13.06% |
Avg. Drawdown | -3.05% | -2.78% |
Avg. Drawdown Days | 51 | 42 |
Recovery Factor | 0.49 | 0.81 |
Ulcer Index | 0.1 | 0.11 |
Serenity Index | -3.67 | -3.65 |
Avg. Up Month | 3.86% | 3.65% |
Avg. Down Month | -4.51% | -4.27% |
Win Days | 56.54% | 55.12% |
Win Month | 60.0% | 58.93% |
Win Quarter | 72.73% | 70.0% |
Win Year | 50.0% | 66.67% |
Beta | 0.58 | - |
Alpha | 0.0 | - |
Correlation | 69.04% | - |
Treynor Ratio | -1177.02% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 7.50 | 6.67 | 0.89 | - |
2020 | -3.83 | -2.14 | 0.56 | + |
2021 | 22.10 | 22.54 | 1.02 | + |
2022 | -13.06 | -8.49 | 0.65 | + |
2023 | 12.74 | 0.00 | 0.00 | - |
2024 | 4.23 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-20 | 2021-03-31 | -35.05 | 405 |
2022-01-05 | 2024-04-19 | -11.73 | 835 |
2021-11-18 | 2022-01-03 | -6.61 | 46 |
2021-08-16 | 2021-11-01 | -5.28 | 77 |
2019-11-27 | 2019-12-13 | -5.03 | 16 |
2019-09-23 | 2019-10-24 | -4.67 | 31 |
2021-07-14 | 2021-07-26 | -3.56 | 12 |
2020-01-21 | 2020-02-06 | -3.14 | 16 |
2021-04-20 | 2021-05-07 | -2.32 | 17 |
2019-09-16 | 2019-09-20 | -2.16 | 4 |