Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 97.0% |
Cumulative Return | 21.89% | 21.98% |
CAGR﹪ | 7.82% | 7.85% |
Sharpe | -18.35 | -20.31 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -15.22 | -16.85 |
Sortino | -12.39 | -12.87 |
Smart Sortino | -10.28 | -10.67 |
Sortino/√2 | -8.76 | -9.1 |
Smart Sortino/√2 | -7.27 | -7.55 |
Omega | 0.04 | 0.04 |
Max Drawdown | -16.61% | -16.77% |
Longest DD Days | 154 | 155 |
Volatility (ann.) | 10.92% | 9.87% |
R^2 | 0.73 | 0.73 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.47 | 0.47 |
Skew | -4.77 | -8.5 |
Kurtosis | 103.07 | 202.4 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.62% | 0.62% |
Expected Yearly | 5.07% | 5.09% |
Kelly Criterion | 6.28% | 12.39% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.1% | -0.99% |
Expected Shortfall (cVaR) | -1.1% | -0.99% |
Max Consecutive Wins | 8 | 14 |
Max Consecutive Losses | 6 | 7 |
Gain/Pain Ratio | 0.25 | 0.4 |
Gain/Pain (1M) | 1.36 | 1.39 |
Payoff Ratio | 0.79 | 0.7 |
Profit Factor | 1.25 | 1.4 |
Common Sense Ratio | 1.88 | 1.78 |
CPC Index | 0.58 | 0.63 |
Tail Ratio | 1.5 | 1.27 |
Outlier Win Ratio | 4.68 | 7.33 |
Outlier Loss Ratio | 4.65 | 6.37 |
MTD | 0.02% | -0.02% |
3M | 3.12% | 3.04% |
6M | 5.54% | 5.78% |
YTD | 0.49% | 1.49% |
1Y | 10.3% | 10.46% |
3Y (ann.) | 7.82% | 7.85% |
5Y (ann.) | 7.82% | 7.85% |
10Y (ann.) | 7.82% | 7.85% |
All-time (ann.) | 7.82% | 7.85% |
Best Day | 6.66% | 6.46% |
Worst Day | -10.58% | -11.48% |
Best Month | 7.66% | 6.35% |
Worst Month | -9.27% | -9.62% |
Best Year | 8.1% | 7.27% |
Worst Year | 0.49% | 1.49% |
Avg. Drawdown | -0.6% | -0.47% |
Avg. Drawdown Days | 8 | 8 |
Recovery Factor | 1.32 | 1.31 |
Ulcer Index | 0.03 | 0.03 |
Serenity Index | -26.41 | -28.09 |
Avg. Up Month | 1.48% | 1.47% |
Avg. Down Month | -2.7% | -2.62% |
Win Days | 58.73% | 64.03% |
Win Month | 81.25% | 78.12% |
Win Quarter | 83.33% | 83.33% |
Win Year | 100.0% | 100.0% |
Beta | 0.95 | - |
Alpha | 0.01 | - |
Correlation | 85.68% | - |
Treynor Ratio | -715.15% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 5.81 | 5.76 | 0.99 | - |
2021 | 5.89 | 6.09 | 1.03 | + |
2022 | 7.27 | 8.10 | 1.11 | + |
2023 | 1.49 | 0.49 | 0.33 | - |
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 | 2023-02-01 | -3.44 | 27 |
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 |