Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 32.8% | 20.08% |
CAGR﹪ | 8.88% | 5.64% |
Sharpe | 0.93 | 17.14 |
Prob. Sharpe Ratio | 92.22% | 100.0% |
Smart Sharpe | 0.77 | 14.25 |
Sortino | 1.19 | 63.83 |
Smart Sortino | 0.99 | 53.05 |
Sortino/√2 | 0.84 | 45.13 |
Smart Sortino/√2 | 0.7 | 37.51 |
Omega | 1.3 | 1.3 |
Max Drawdown | -16.61% | -1.25% |
Longest DD Days | 154 | 209 |
Volatility (ann.) | 9.9% | 0.33% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.53 | 4.5 |
Skew | -5.02 | 0.02 |
Kurtosis | 120.17 | 0.19 |
Expected Daily | 0.03% | 0.02% |
Expected Monthly | 0.71% | 0.46% |
Expected Yearly | 7.35% | 4.68% |
Kelly Criterion | 14.04% | 80.42% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.99% | -0.01% |
Expected Shortfall (cVaR) | -0.99% | -0.01% |
Max Consecutive Wins | 8 | 396 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.3 | 13.33 |
Gain/Pain (1M) | 1.73 | 13.33 |
Payoff Ratio | 0.92 | 2.05 |
Profit Factor | 1.3 | 14.33 |
Common Sense Ratio | 1.72 | 40.5 |
CPC Index | 0.71 | 25.57 |
Tail Ratio | 1.32 | 2.83 |
Outlier Win Ratio | 2.77 | 26.26 |
Outlier Loss Ratio | 2.21 | 52.03 |
MTD | -0.17% | 0.01% |
3M | 0.29% | 1.18% |
6M | 4.12% | 2.26% |
YTD | 8.67% | 3.97% |
1Y | 15.78% | 5.36% |
3Y (ann.) | 8.64% | 6.16% |
5Y (ann.) | 8.88% | 5.64% |
10Y (ann.) | 8.88% | 5.64% |
All-time (ann.) | 8.88% | 5.64% |
Best Day | 6.66% | 0.07% |
Worst Day | -10.58% | -0.02% |
Best Month | 7.66% | 1.56% |
Worst Month | -9.27% | -0.52% |
Best Year | 8.67% | 8.39% |
Worst Year | 6.09% | 2.44% |
Avg. Drawdown | -0.56% | -0.68% |
Avg. Drawdown Days | 8 | 138 |
Recovery Factor | 1.97 | 16.0 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 1.45 | 1.65 |
Avg. Up Month | 1.32% | 0.53% |
Avg. Down Month | - | - |
Win Days | 58.82% | 86.83% |
Win Month | 80.0% | 87.5% |
Win Quarter | 80.0% | 93.33% |
Win Year | 100.0% | 100.0% |
Beta | -1.96 | - |
Alpha | 0.2 | - |
Correlation | -6.48% | - |
Treynor Ratio | -16.76% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 2.44 | 6.55 | 2.68 | + |
2021 | 8.39 | 6.09 | 0.73 | - |
2022 | 4.01 | 8.10 | 2.02 | + |
2023 | 3.97 | 8.67 | 2.18 | + |
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 | 2023-03-28 | -3.44 | 82 |
2023-08-11 | 2023-10-02 | -3.11 | 52 |
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 |
2023-05-17 | 2023-06-05 | -0.94 | 19 |