Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 12.23% | 7.83% |
CAGR﹪ | 7.5% | 4.84% |
Sharpe | -14.32 | -12.8 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -12.74 | -11.39 |
Sortino | -11.09 | -10.3 |
Smart Sortino | -9.86 | -9.16 |
Sortino/√2 | -7.84 | -7.28 |
Smart Sortino/√2 | -6.98 | -6.48 |
Omega | 0.06 | 0.06 |
Max Drawdown | -16.61% | -23.04% |
Longest DD Days | 154 | 166 |
Volatility (ann.) | 13.99% | 15.82% |
R^2 | 0.43 | 0.43 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.45 | 0.21 |
Skew | -3.81 | -6.7 |
Kurtosis | 63.36 | 82.32 |
Expected Daily | 0.03% | 0.02% |
Expected Monthly | 0.55% | 0.36% |
Expected Yearly | 3.92% | 2.54% |
Kelly Criterion | 7.66% | 2.91% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.42% | -1.61% |
Expected Shortfall (cVaR) | -1.42% | -1.61% |
Max Consecutive Wins | 8 | 15 |
Max Consecutive Losses | 6 | 9 |
Gain/Pain Ratio | 0.18 | 0.15 |
Gain/Pain (1M) | 0.85 | 0.4 |
Payoff Ratio | 0.85 | 0.75 |
Profit Factor | 1.18 | 1.15 |
Common Sense Ratio | 1.74 | 1.81 |
CPC Index | 0.58 | 0.5 |
Tail Ratio | 1.48 | 1.57 |
Outlier Win Ratio | 4.83 | 5.89 |
Outlier Loss Ratio | 5.82 | 6.89 |
MTD | 0.15% | 0.01% |
3M | 3.0% | 1.28% |
6M | 5.0% | 4.47% |
YTD | 0.62% | 1.51% |
1Y | 10.26% | 8.75% |
3Y (ann.) | 7.5% | 4.84% |
5Y (ann.) | 7.5% | 4.84% |
10Y (ann.) | 7.5% | 4.84% |
All-time (ann.) | 7.5% | 4.84% |
Best Day | 6.66% | 5.72% |
Worst Day | -10.58% | -11.6% |
Best Month | 7.66% | 10.74% |
Worst Month | -9.27% | -11.55% |
Best Year | 8.1% | 5.02% |
Worst Year | 0.62% | 1.15% |
Avg. Drawdown | -1.17% | -1.41% |
Avg. Drawdown Days | 13 | 17 |
Recovery Factor | 0.74 | 0.34 |
Ulcer Index | 0.04 | 0.05 |
Serenity Index | -18.87 | -15.39 |
Avg. Up Month | 2.1% | 2.63% |
Avg. Down Month | -3.15% | -3.97% |
Win Days | 57.45% | 58.49% |
Win Month | 73.68% | 65.0% |
Win Quarter | 71.43% | 57.14% |
Win Year | 100.0% | 100.0% |
Beta | 0.58 | - |
Alpha | 0.05 | - |
Correlation | 65.37% | - |
Treynor Ratio | -1190.35% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.15 | 3.18 | 2.77 | + |
2022 | 5.02 | 8.10 | 1.62 | + |
2023 | 1.51 | 0.62 | 0.41 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-06-09 | -16.61 | 154 |
2022-09-19 | 2022-11-24 | -7.19 | 66 |
2023-01-05 | 2023-02-02 | -3.44 | 28 |
2021-09-30 | 2021-12-27 | -3.04 | 88 |
2022-12-07 | 2022-12-30 | -1.69 | 23 |
2022-06-21 | 2022-06-30 | -1.42 | 9 |
2022-07-19 | 2022-07-25 | -1.03 | 6 |
2022-08-10 | 2022-08-15 | -0.96 | 5 |
2022-08-16 | 2022-08-24 | -0.88 | 8 |
2022-06-14 | 2022-06-15 | -0.82 | 1 |