Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 76.0% | 100.0% |
Cumulative Return | 41.83% | 80.12% |
CAGR﹪ | 28.74% | 53.01% |
Sharpe | -1.74 | -13.07 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.16 | -8.7 |
Sortino | -2.94 | -10.58 |
Smart Sortino | -1.96 | -7.04 |
Sortino/√2 | -2.08 | -7.48 |
Smart Sortino/√2 | -1.38 | -4.98 |
Omega | 0.58 | 0.58 |
Max Drawdown | -52.3% | -7.89% |
Longest DD Days | 270 | 100 |
Volatility (ann.) | 86.33% | 12.69% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.55 | 6.72 |
Skew | 5.03 | -0.02 |
Kurtosis | 72.86 | 1.89 |
Expected Daily | 0.1% | 0.17% |
Expected Monthly | 1.96% | 3.32% |
Expected Yearly | 12.35% | 21.67% |
Kelly Criterion | -1.2% | 27.84% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -8.71% | -1.14% |
Expected Shortfall (cVaR) | -8.71% | -1.14% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 3 | 5 |
Gain/Pain Ratio | 0.26 | 0.81 |
Gain/Pain (1M) | 2.79 | 11.38 |
Payoff Ratio | 0.83 | 1.09 |
Profit Factor | 1.26 | 1.81 |
Common Sense Ratio | 1.1 | 2.2 |
CPC Index | 0.57 | 1.23 |
Tail Ratio | 0.87 | 1.22 |
Outlier Win Ratio | 4.2 | 11.76 |
Outlier Loss Ratio | 2.36 | 10.72 |
MTD | 0.0% | -0.81% |
3M | 14.33% | 6.84% |
6M | 5.06% | 10.16% |
YTD | 23.15% | 11.91% |
1Y | 8.92% | 42.81% |
3Y (ann.) | 28.74% | 53.01% |
5Y (ann.) | 28.74% | 53.01% |
10Y (ann.) | 28.74% | 53.01% |
All-time (ann.) | 28.74% | 53.01% |
Best Day | 65.24% | 3.2% |
Worst Day | -37.87% | -2.95% |
Best Month | 44.02% | 10.63% |
Worst Month | -40.91% | -2.93% |
Best Year | 23.15% | 53.84% |
Worst Year | 4.14% | 4.62% |
Avg. Drawdown | -7.06% | -1.5% |
Avg. Drawdown Days | 32 | 9 |
Recovery Factor | 0.8 | 10.15 |
Ulcer Index | 0.19 | 0.02 |
Serenity Index | -5.18 | -54.76 |
Avg. Up Month | 5.54% | 4.89% |
Avg. Down Month | -21.04% | -2.02% |
Win Days | 53.96% | 62.39% |
Win Month | 76.47% | 77.78% |
Win Quarter | 71.43% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.09 | - |
Alpha | 0.54 | - |
Correlation | 1.37% | - |
Treynor Ratio | -7057.53% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 4.62 | 10.59 | 2.29 | + |
2023 | 53.84 | 4.14 | 0.08 | - |
2024 | 11.91 | 23.15 | 1.94 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-07 | 2024-05-03 | -52.30 | 270 |
2023-04-14 | 2023-06-13 | -8.86 | 60 |
2023-02-15 | 2023-04-06 | -7.13 | 50 |
2023-07-17 | 2023-07-28 | -3.83 | 11 |
2022-12-22 | 2023-01-04 | -3.74 | 13 |
2023-01-11 | 2023-01-18 | -3.38 | 7 |
2023-01-19 | 2023-01-30 | -3.31 | 11 |
2023-07-11 | 2023-07-12 | -3.14 | 1 |
2023-02-06 | 2023-02-13 | -3.06 | 7 |
2023-07-13 | 2023-07-14 | -2.89 | 1 |