Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 69.39% | 46.16% |
CAGR﹪ | 10.93% | 7.76% |
Sharpe | -22.36 | -6.91 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -19.77 | -6.11 |
Sortino | -13.26 | -7.05 |
Smart Sortino | -11.72 | -6.23 |
Sortino/√2 | -9.38 | -4.99 |
Smart Sortino/√2 | -8.29 | -4.41 |
Omega | 0.03 | 0.03 |
Max Drawdown | -16.61% | -53.53% |
Longest DD Days | 246 | 1215 |
Volatility (ann.) | 8.85% | 28.5% |
R^2 | 0.25 | 0.25 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.66 | 0.14 |
Skew | -4.28 | -4.09 |
Kurtosis | 124.32 | 108.89 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.87% | 0.62% |
Expected Yearly | 9.18% | 6.53% |
Kelly Criterion | 11.88% | -3.04% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.87% | -2.91% |
Expected Shortfall (cVaR) | -0.87% | -2.91% |
Max Consecutive Wins | 15 | 11 |
Max Consecutive Losses | 12 | 14 |
Gain/Pain Ratio | 0.37 | 0.1 |
Gain/Pain (1M) | 2.24 | 0.47 |
Payoff Ratio | 0.91 | 0.76 |
Profit Factor | 1.37 | 1.1 |
Common Sense Ratio | 1.76 | 1.08 |
CPC Index | 0.73 | 0.47 |
Tail Ratio | 1.28 | 0.98 |
Outlier Win Ratio | 8.88 | 2.52 |
Outlier Loss Ratio | 8.62 | 2.27 |
MTD | 1.11% | -3.02% |
3M | 7.88% | 3.49% |
6M | 18.97% | 0.79% |
YTD | 20.52% | -1.55% |
1Y | 25.79% | -4.08% |
3Y (ann.) | 13.66% | 21.03% |
5Y (ann.) | 10.9% | 6.02% |
10Y (ann.) | 10.93% | 7.76% |
All-time (ann.) | 10.93% | 7.76% |
Best Day | 6.66% | 20.04% |
Worst Day | -10.58% | -33.28% |
Best Month | 7.66% | 15.56% |
Worst Month | -9.27% | -30.02% |
Best Year | 20.52% | 53.84% |
Worst Year | 3.4% | -37.26% |
Avg. Drawdown | -0.58% | -3.49% |
Avg. Drawdown Days | 10 | 43 |
Recovery Factor | 4.18 | 0.86 |
Ulcer Index | 0.03 | 0.23 |
Serenity Index | -28.01 | -1.17 |
Avg. Up Month | 1.51% | 5.52% |
Avg. Down Month | -3.18% | -11.15% |
Win Days | 57.9% | 55.34% |
Win Month | 81.97% | 59.02% |
Win Quarter | 86.36% | 59.09% |
Win Year | 100.0% | 66.67% |
Beta | 0.16 | - |
Alpha | 0.09 | - |
Correlation | 50.46% | - |
Treynor Ratio | -4024.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 24.25 | 6.09 | 0.25 | - |
2021 | 21.79 | 6.09 | 0.28 | - |
2022 | -37.26 | 8.10 | -0.22 | + |
2023 | 53.84 | 11.72 | 0.22 | - |
2024 | 1.64 | 3.40 | 2.08 | + |
2025 | -1.55 | 20.52 | -13.27 | + |
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 | 2023-03-16 | -3.44 | 70 |
2023-08-11 | 2023-12-18 | -3.11 | 129 |
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 |