Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 70.04% | 41.26% |
CAGR﹪ | 10.99% | 7.02% |
Sharpe | 1.24 | 21.65 |
Prob. Sharpe Ratio | 98.78% | 100.0% |
Smart Sharpe | 1.09 | 19.14 |
Sortino | 1.67 | 96.73 |
Smart Sortino | 1.47 | 85.52 |
Sortino/√2 | 1.18 | 68.4 |
Smart Sortino/√2 | 1.04 | 60.47 |
Omega | 1.38 | 1.38 |
Max Drawdown | -16.61% | -1.25% |
Longest DD Days | 246 | 209 |
Volatility (ann.) | 8.82% | 0.32% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.66 | 5.6 |
Skew | -4.29 | -0.15 |
Kurtosis | 125.1 | 0.24 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.87% | 0.57% |
Expected Yearly | 9.25% | 5.93% |
Kelly Criterion | 14.35% | 87.85% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.87% | -0.01% |
Expected Shortfall (cVaR) | -0.87% | -0.01% |
Max Consecutive Wins | 15 | 729 |
Max Consecutive Losses | 12 | 65 |
Gain/Pain Ratio | 0.38 | 25.17 |
Gain/Pain (1M) | 2.25 | 25.17 |
Payoff Ratio | 0.97 | 2.31 |
Profit Factor | 1.38 | 26.17 |
Common Sense Ratio | 1.77 | 95.85 |
CPC Index | 0.77 | 55.35 |
Tail Ratio | 1.29 | 3.66 |
Outlier Win Ratio | 2.65 | 23.03 |
Outlier Loss Ratio | 2.04 | 45.26 |
MTD | 1.06% | 0.07% |
3M | 6.35% | 1.18% |
6M | 19.56% | 3.92% |
YTD | 20.46% | 3.98% |
1Y | 25.31% | 9.47% |
3Y (ann.) | 13.63% | 7.49% |
5Y (ann.) | 10.91% | 7.16% |
10Y (ann.) | 10.99% | 7.02% |
All-time (ann.) | 10.99% | 7.02% |
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 | 20.46% | 9.51% |
Worst Year | 3.4% | 2.44% |
Avg. Drawdown | -0.57% | -0.68% |
Avg. Drawdown Days | 10 | 138 |
Recovery Factor | 4.22 | 32.88 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 3.12 | 5.15 |
Avg. Up Month | 1.51% | 0.62% |
Avg. Down Month | - | - |
Win Days | 57.79% | 91.52% |
Win Month | 81.97% | 91.8% |
Win Quarter | 86.36% | 95.45% |
Win Year | 100.0% | 100.0% |
Beta | -0.66 | - |
Alpha | 0.15 | - |
Correlation | -2.37% | - |
Treynor Ratio | -105.96% | - |
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 | 7.42 | 11.72 | 1.58 | + |
2024 | 9.51 | 3.40 | 0.36 | - |
2025 | 3.98 | 20.46 | 5.14 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-06-09 | -16.61 | 154 |
2024-04-25 | 2024-12-27 | -8.73 | 246 |
2022-09-19 | 2022-11-24 | -7.19 | 66 |
2023-01-05 | 2023-03-28 | -3.44 | 82 |
2023-08-11 | 2023-12-11 | -3.11 | 122 |
2021-09-30 | 2021-12-27 | -3.04 | 88 |
2022-12-07 | 2022-12-30 | -1.69 | 23 |
2025-03-24 | 2025-04-21 | -1.54 | 28 |
2022-06-21 | 2022-06-30 | -1.42 | 9 |
2024-03-05 | 2024-04-23 | -1.24 | 49 |