Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | 11.72% | 5.74% |
CAGR﹪ | 33.24% | 15.56% |
Sharpe | 1.2 | 43.87 |
Prob. Sharpe Ratio | 78.09% | 100.0% |
Smart Sharpe | 1.12 | 40.86 |
Sortino | 2.0 | - |
Smart Sortino | 1.86 | - |
Sortino/√2 | 1.41 | - |
Smart Sortino/√2 | 1.31 | - |
Omega | 1.23 | 1.23 |
Max Drawdown | -13.07% | - |
Longest DD Days | - | - |
Volatility (ann.) | 26.37% | 0.32% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.04 | 0.04 |
Calmar | 2.54 | - |
Skew | 0.95 | 2.13 |
Kurtosis | 3.79 | 12.23 |
Expected Daily | 0.11% | 0.06% |
Expected Monthly | 1.86% | 0.94% |
Expected Yearly | 5.7% | 2.83% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.61% | -0.02% |
Expected Shortfall (cVaR) | -2.61% | -0.02% |
Max Consecutive Wins | 7 | 98 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | 0.23 | - |
Gain/Pain (1M) | 1.49 | - |
Payoff Ratio | - | - |
Profit Factor | 1.23 | - |
Common Sense Ratio | 1.34 | - |
CPC Index | - | - |
Tail Ratio | 1.09 | 2.08 |
Outlier Win Ratio | 2.13 | 45.83 |
Outlier Loss Ratio | 1.52 | - |
MTD | 6.27% | 0.6% |
3M | 13.28% | 3.99% |
6M | 11.72% | 5.74% |
YTD | 9.17% | 1.8% |
1Y | 11.72% | 5.74% |
3Y (ann.) | 33.24% | 15.56% |
5Y (ann.) | 33.24% | 15.56% |
10Y (ann.) | 33.24% | 15.56% |
All-time (ann.) | 33.24% | 15.56% |
Best Day | 7.58% | 0.16% |
Worst Day | -3.86% | 0.0% |
Best Month | 10.21% | 1.43% |
Worst Month | -8.17% | 0.32% |
Best Year | 9.17% | 3.87% |
Worst Year | 2.34% | 1.8% |
Avg. Drawdown | -4.13% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.9 | - |
Ulcer Index | 0.05 | 0.0 |
Serenity Index | 0.37 | - |
Avg. Up Month | 4.07% | 0.97% |
Avg. Down Month | - | - |
Win Days | 54.08% | 100.0% |
Win Month | 83.33% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 8.21 | - |
Alpha | -0.85 | - |
Correlation | 10.09% | - |
Treynor Ratio | 1.43% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 3.87 | 2.34 | 0.60 | - |
2025 | 1.80 | 9.17 | 5.08 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-11-12 | 2024-12-30 | -13.07 | 48 |
2024-10-01 | 2024-11-11 | -8.17 | 41 |
2025-01-03 | 2025-01-14 | -3.13 | 11 |
2025-01-20 | 2025-01-29 | -2.08 | 9 |
2025-02-03 | 2025-02-10 | -1.36 | 7 |
2025-02-13 | 2025-02-14 | -1.09 | 1 |
2025-01-15 | 2025-01-16 | -0.00 | 1 |