Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | 57.93% | 57.96% |
CAGR﹪ | 21.88% | 21.89% |
Sharpe | -7.94 | -8.08 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.92 | -8.06 |
Sortino | -7.94 | -8.1 |
Smart Sortino | -7.92 | -8.08 |
Sortino/√2 | -5.62 | -5.73 |
Smart Sortino/√2 | -5.6 | -5.71 |
Omega | 0.24 | 0.24 |
Max Drawdown | -42.54% | -41.33% |
Longest DD Days | 379 | 372 |
Volatility (ann.) | 23.39% | 22.98% |
R^2 | 0.69 | 0.69 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.51 | 0.53 |
Skew | 0.09 | 0.08 |
Kurtosis | 4.93 | 4.97 |
Expected Daily | 0.08% | 0.08% |
Expected Monthly | 1.65% | 1.65% |
Expected Yearly | 16.45% | 16.46% |
Kelly Criterion | 5.88% | 6.57% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.33% | -2.29% |
Expected Shortfall (cVaR) | -2.33% | -2.29% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 8 | 10 |
Gain/Pain Ratio | 0.2 | 0.21 |
Gain/Pain (1M) | 0.82 | 0.86 |
Payoff Ratio | 0.93 | 0.93 |
Profit Factor | 1.2 | 1.21 |
Common Sense Ratio | 1.16 | 1.12 |
CPC Index | 0.61 | 0.62 |
Tail Ratio | 0.97 | 0.93 |
Outlier Win Ratio | 4.12 | 4.31 |
Outlier Loss Ratio | 4.1 | 4.37 |
MTD | 2.26% | 2.24% |
3M | 18.62% | 18.4% |
6M | 17.13% | 16.68% |
YTD | 15.69% | 15.26% |
1Y | 32.26% | 30.59% |
3Y (ann.) | 21.88% | 21.89% |
5Y (ann.) | 21.88% | 21.89% |
10Y (ann.) | 21.88% | 21.89% |
All-time (ann.) | 21.88% | 21.89% |
Best Day | 9.01% | 7.33% |
Worst Day | -6.62% | -6.44% |
Best Month | 17.11% | 17.51% |
Worst Month | -18.31% | -17.04% |
Best Year | 43.19% | 44.91% |
Worst Year | -4.66% | -5.43% |
Avg. Drawdown | -4.76% | -3.75% |
Avg. Drawdown Days | 42 | 31 |
Recovery Factor | 1.36 | 1.4 |
Ulcer Index | 0.2 | 0.2 |
Serenity Index | -1.21 | -1.3 |
Avg. Up Month | 6.51% | 6.3% |
Avg. Down Month | -6.17% | -5.83% |
Win Days | 54.69% | 54.92% |
Win Month | 64.29% | 64.29% |
Win Quarter | 90.0% | 90.0% |
Win Year | 66.67% | 66.67% |
Beta | 0.85 | - |
Alpha | 0.04 | - |
Correlation | 83.3% | - |
Treynor Ratio | -757.17% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | -5.43 | -4.66 | 0.86 | + |
2023 | 44.91 | 43.19 | 0.96 | - |
2024 | 15.26 | 15.69 | 1.03 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-03-30 | 2023-04-13 | -42.54 | 379 |
2023-09-06 | 2024-03-05 | -9.66 | 181 |
2023-08-14 | 2023-09-05 | -6.95 | 22 |
2024-04-15 | 2024-04-25 | -6.01 | 10 |
2022-01-25 | 2022-02-18 | -5.85 | 24 |
2023-04-17 | 2023-06-30 | -5.77 | 74 |
2023-07-10 | 2023-07-18 | -1.74 | 8 |
2023-07-20 | 2023-07-31 | -1.41 | 11 |
2022-02-22 | 2022-02-24 | -1.28 | 2 |
2024-03-18 | 2024-03-21 | -1.18 | 3 |