Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 23.0% | 16.43% |
CAGR﹪ | 8.06% | 5.86% |
Sharpe | 0.79 | 16.24 |
Prob. Sharpe Ratio | 86.76% | 100.0% |
Smart Sharpe | 0.66 | 13.47 |
Sortino | 1.0 | 59.45 |
Smart Sortino | 0.83 | 49.32 |
Sortino/√2 | 0.71 | 42.04 |
Smart Sortino/√2 | 0.59 | 34.88 |
Omega | 1.26 | 1.26 |
Max Drawdown | -16.61% | -1.25% |
Longest DD Days | 154 | 209 |
Volatility (ann.) | 10.85% | 0.36% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.49 | 4.67 |
Skew | -4.8 | -0.11 |
Kurtosis | 104.46 | -0.28 |
Expected Daily | 0.03% | 0.02% |
Expected Monthly | 0.65% | 0.48% |
Expected Yearly | 5.31% | 3.88% |
Kelly Criterion | 15.65% | 76.09% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.09% | -0.01% |
Expected Shortfall (cVaR) | -1.09% | -0.01% |
Max Consecutive Wins | 8 | 396 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.26 | 11.08 |
Gain/Pain (1M) | 1.42 | 11.08 |
Payoff Ratio | 0.94 | 2.24 |
Profit Factor | 1.26 | 12.08 |
Common Sense Ratio | 1.85 | 41.99 |
CPC Index | 0.71 | 22.64 |
Tail Ratio | 1.46 | 3.47 |
Outlier Win Ratio | 2.7 | 24.05 |
Outlier Loss Ratio | 2.99 | 75.82 |
MTD | 0.18% | 0.07% |
3M | 3.03% | 1.96% |
6M | 5.04% | 1.7% |
YTD | 0.65% | 0.82% |
1Y | 10.29% | 3.76% |
3Y (ann.) | 8.06% | 5.86% |
5Y (ann.) | 8.06% | 5.86% |
10Y (ann.) | 8.06% | 5.86% |
All-time (ann.) | 8.06% | 5.86% |
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 | 8.1% | 8.39% |
Worst Year | 0.65% | 0.82% |
Avg. Drawdown | -0.59% | -0.68% |
Avg. Drawdown Days | 8 | 138 |
Recovery Factor | 1.38 | 13.09 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 0.9 | 1.18 |
Avg. Up Month | 1.25% | 0.55% |
Avg. Down Month | - | - |
Win Days | 59.03% | 83.46% |
Win Month | 81.25% | 84.38% |
Win Quarter | 83.33% | 91.67% |
Win Year | 100.0% | 100.0% |
Beta | -2.02 | - |
Alpha | 0.2 | - |
Correlation | -6.73% | - |
Treynor Ratio | -11.37% | - |
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 | 0.82 | 0.65 | 0.80 | - |
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 |