Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 37.51% | 36.32% |
CAGR﹪ | 8.58% | 8.33% |
Sharpe | 0.95 | 0.52 |
Prob. Sharpe Ratio | 93.93% | 84.72% |
Smart Sharpe | 0.79 | 0.43 |
Sortino | 1.23 | 0.79 |
Smart Sortino | 1.02 | 0.65 |
Sortino/√2 | 0.87 | 0.56 |
Smart Sortino/√2 | 0.72 | 0.46 |
Omega | 1.31 | 1.31 |
Max Drawdown | -16.61% | -39.65% |
Longest DD Days | 154 | 488 |
Volatility (ann.) | 9.28% | 19.37% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.52 | 0.21 |
Skew | -5.22 | 1.11 |
Kurtosis | 133.73 | 16.03 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.69% | 0.68% |
Expected Yearly | 6.58% | 6.39% |
Kelly Criterion | 19.06% | 8.76% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.93% | -1.97% |
Expected Shortfall (cVaR) | -0.93% | -1.97% |
Max Consecutive Wins | 8 | 9 |
Max Consecutive Losses | 6 | 7 |
Gain/Pain Ratio | 0.31 | 0.11 |
Gain/Pain (1M) | 1.91 | 0.51 |
Payoff Ratio | 1.06 | 1.16 |
Profit Factor | 1.31 | 1.11 |
Common Sense Ratio | 1.66 | 1.14 |
CPC Index | 0.81 | 0.66 |
Tail Ratio | 1.27 | 1.02 |
Outlier Win Ratio | 9.47 | 3.03 |
Outlier Loss Ratio | 7.89 | 3.01 |
MTD | -0.26% | 1.94% |
3M | 0.32% | 7.3% |
6M | 3.81% | -3.21% |
YTD | 1.03% | 4.33% |
1Y | 8.02% | 15.26% |
3Y (ann.) | 8.61% | 8.64% |
5Y (ann.) | 8.58% | 8.33% |
10Y (ann.) | 8.58% | 8.33% |
All-time (ann.) | 8.58% | 8.33% |
Best Day | 6.66% | 10.7% |
Worst Day | -10.58% | -6.67% |
Best Month | 7.66% | 19.77% |
Worst Month | -9.27% | -16.34% |
Best Year | 11.72% | 29.27% |
Worst Year | 1.03% | -6.4% |
Avg. Drawdown | -0.55% | -4.48% |
Avg. Drawdown Days | 9 | 64 |
Recovery Factor | 2.26 | 0.92 |
Ulcer Index | 0.03 | 0.14 |
Serenity Index | 1.78 | 0.12 |
Avg. Up Month | 1.15% | 4.19% |
Avg. Down Month | -1.05% | -2.89% |
Win Days | 58.34% | 50.95% |
Win Month | 80.43% | 58.7% |
Win Quarter | 82.35% | 70.59% |
Win Year | 100.0% | 80.0% |
Beta | -0.07 | - |
Alpha | 0.1 | - |
Correlation | -14.83% | - |
Treynor Ratio | -527.82% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 7.61 | 6.23 | 0.82 | - |
2021 | 0.36 | 6.09 | 17.10 | + |
2022 | -6.40 | 8.10 | -1.27 | + |
2023 | 29.27 | 11.72 | 0.40 | - |
2024 | 4.33 | 1.03 | 0.24 | - |
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 | 2023-03-16 | -3.44 | 70 |
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 |
2022-06-21 | 2022-06-30 | -1.42 | 9 |
2024-03-05 | 2024-04-17 | -1.24 | 43 |
2022-07-19 | 2022-07-25 | -1.03 | 6 |
2022-08-10 | 2022-08-15 | -0.96 | 5 |