Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 95.0% | 100.0% |
Cumulative Return | 15.17% | 16.75% |
CAGR﹪ | 22.03% | 24.4% |
Sharpe | 4.3 | 43.9 |
Prob. Sharpe Ratio | 99.98% | 100.0% |
Smart Sharpe | 2.89 | 29.45 |
Sortino | 7.21 | - |
Smart Sortino | 4.83 | - |
Sortino/√2 | 5.1 | - |
Smart Sortino/√2 | 3.42 | - |
Omega | 2.08 | 2.08 |
Max Drawdown | -1.87% | - |
Longest DD Days | - | - |
Volatility (ann.) | 4.47% | 0.48% |
R^2 | 0.03 | 0.03 |
Information Ratio | -0.02 | -0.02 |
Calmar | 11.76 | - |
Skew | -0.26 | 4.3 |
Kurtosis | 1.38 | 20.83 |
Expected Daily | 0.08% | 0.08% |
Expected Monthly | 1.42% | 1.56% |
Expected Yearly | 7.32% | 8.05% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.39% | -0.03% |
Expected Shortfall (cVaR) | -0.39% | -0.03% |
Max Consecutive Wins | 9 | 185 |
Max Consecutive Losses | 3 | 0 |
Gain/Pain Ratio | 1.08 | - |
Gain/Pain (1M) | 12.62 | - |
Payoff Ratio | - | - |
Profit Factor | 2.08 | - |
Common Sense Ratio | 2.99 | - |
CPC Index | - | - |
Tail Ratio | 1.43 | 1.44 |
Outlier Win Ratio | 2.34 | 6.0 |
Outlier Loss Ratio | 1.44 | - |
MTD | 0.62% | 0.53% |
3M | 7.13% | 4.96% |
6M | 13.4% | 10.73% |
YTD | 13.31% | 11.03% |
1Y | 15.17% | 16.75% |
3Y (ann.) | 22.03% | 24.4% |
5Y (ann.) | 22.03% | 24.4% |
10Y (ann.) | 22.03% | 24.4% |
All-time (ann.) | 22.03% | 24.4% |
Best Day | 0.86% | 0.24% |
Worst Day | -0.98% | 0.0% |
Best Month | 2.86% | 1.83% |
Worst Month | -1.13% | 0.53% |
Best Year | 13.31% | 11.03% |
Worst Year | 1.64% | 5.16% |
Avg. Drawdown | -0.26% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 8.1 | - |
Ulcer Index | 0.0 | 0.0 |
Serenity Index | 10.31 | - |
Avg. Up Month | 1.71% | 1.58% |
Avg. Down Month | - | - |
Win Days | 67.05% | 100.0% |
Win Month | 90.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -1.51 | - |
Alpha | 0.51 | - |
Correlation | -16.12% | - |
Treynor Ratio | -10.07% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 5.16 | 1.64 | 0.32 | - |
2025 | 11.03 | 13.31 | 1.21 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-10-29 | 2024-12-24 | -1.87 | 56 |
2025-01-22 | 2025-01-24 | -0.55 | 2 |
2025-03-11 | 2025-03-14 | -0.46 | 3 |
2025-01-08 | 2025-01-09 | -0.41 | 1 |
2025-04-03 | 2025-04-08 | -0.39 | 5 |
2025-04-09 | 2025-04-10 | -0.37 | 1 |
2025-01-29 | 2025-01-31 | -0.34 | 2 |
2025-03-06 | 2025-03-07 | -0.32 | 1 |
2024-10-24 | 2024-10-28 | -0.31 | 4 |
2025-03-25 | 2025-03-28 | -0.30 | 3 |