Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | 5.61% | 12.79% |
CAGR﹪ | 28.71% | 74.39% |
Sharpe | 1.51 | 2.37 |
Prob. Sharpe Ratio | 76.12% | 90.95% |
Smart Sharpe | 1.49 | 2.34 |
Sortino | 2.46 | 5.47 |
Smart Sortino | 2.42 | 5.39 |
Sortino/√2 | 1.74 | 3.87 |
Smart Sortino/√2 | 1.71 | 3.81 |
Omega | 1.27 | 1.27 |
Max Drawdown | -6.37% | -5.89% |
Longest DD Days | 50 | 25 |
Volatility (ann.) | 17.53% | 24.53% |
R^2 | 0.09 | 0.09 |
Information Ratio | -0.08 | -0.08 |
Calmar | 4.51 | 12.63 |
Skew | 0.24 | 2.63 |
Kurtosis | -0.48 | 12.41 |
Expected Daily | 0.1% | 0.22% |
Expected Monthly | 1.84% | 4.09% |
Expected Yearly | 2.77% | 6.2% |
Kelly Criterion | 11.62% | 26.48% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.71% | -2.31% |
Expected Shortfall (cVaR) | -1.71% | -2.31% |
Max Consecutive Wins | 3 | 3 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | 0.27 | 0.65 |
Gain/Pain (1M) | 512.95 | - |
Payoff Ratio | 1.42 | 2.39 |
Profit Factor | 1.27 | 1.65 |
Common Sense Ratio | 1.42 | 2.17 |
CPC Index | 0.86 | 1.9 |
Tail Ratio | 1.12 | 1.32 |
Outlier Win Ratio | 3.98 | 3.41 |
Outlier Loss Ratio | 2.68 | 3.0 |
MTD | 2.31% | 7.35% |
3M | 5.61% | 12.79% |
6M | 5.61% | 12.79% |
YTD | 2.16% | 11.14% |
1Y | 5.61% | 12.79% |
3Y (ann.) | 28.71% | 74.39% |
5Y (ann.) | 28.71% | 74.39% |
10Y (ann.) | 28.71% | 74.39% |
All-time (ann.) | 28.71% | 74.39% |
Best Day | 2.71% | 8.19% |
Worst Day | -1.95% | -2.64% |
Best Month | 3.38% | 7.35% |
Worst Month | -0.15% | 1.48% |
Best Year | 3.38% | 11.14% |
Worst Year | 2.16% | 1.48% |
Avg. Drawdown | -1.89% | -1.58% |
Avg. Drawdown Days | 14 | 6 |
Recovery Factor | 0.88 | 2.17 |
Ulcer Index | 0.03 | 0.02 |
Serenity Index | 0.31 | 1.7 |
Avg. Up Month | 2.85% | 4.42% |
Avg. Down Month | - | - |
Win Days | 48.15% | 48.15% |
Win Month | 66.67% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.22 | - |
Alpha | 0.14 | - |
Correlation | 30.61% | - |
Treynor Ratio | 25.66% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.48 | 3.38 | 2.27 | + |
2022 | 11.14 | 2.16 | 0.19 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-02-25 | -6.37 | 50 |
2021-12-09 | 2021-12-23 | -2.01 | 14 |
2021-12-24 | 2021-12-27 | -0.68 | 3 |
2021-12-28 | 2021-12-29 | -0.20 | 1 |
2021-12-30 | 2022-01-03 | -0.20 | 4 |