Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | 39.28% | 36.18% |
CAGR﹪ | 16.28% | 15.09% |
Sharpe | 0.56 | 39.22 |
Prob. Sharpe Ratio | 80.6% | 100.0% |
Smart Sharpe | 0.38 | 26.29 |
Sortino | 1.04 | - |
Smart Sortino | 0.7 | - |
Sortino/√2 | 0.74 | - |
Smart Sortino/√2 | 0.49 | - |
Omega | 1.19 | 1.19 |
Max Drawdown | -52.3% | - |
Longest DD Days | - | - |
Volatility (ann.) | 74.34% | 0.4% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.31 | - |
Skew | 5.66 | 1.9 |
Kurtosis | 95.3 | 6.43 |
Expected Daily | 0.07% | 0.06% |
Expected Monthly | 1.23% | 1.15% |
Expected Yearly | 8.64% | 8.03% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -7.54% | -0.02% |
Expected Shortfall (cVaR) | -7.54% | -0.02% |
Max Consecutive Wins | 10 | 492 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.19 | - |
Gain/Pain (1M) | 1.55 | - |
Payoff Ratio | - | - |
Profit Factor | 1.19 | - |
Common Sense Ratio | 1.14 | - |
CPC Index | - | - |
Tail Ratio | 0.96 | 2.57 |
Outlier Win Ratio | 3.03 | 89.99 |
Outlier Loss Ratio | 2.35 | - |
MTD | 6.25% | 1.79% |
3M | 12.59% | 6.58% |
6M | 11.15% | 11.86% |
YTD | 9.68% | 3.61% |
1Y | 13.57% | 20.85% |
3Y (ann.) | 16.28% | 15.09% |
5Y (ann.) | 16.28% | 15.09% |
10Y (ann.) | 16.28% | 15.09% |
All-time (ann.) | 16.28% | 15.09% |
Best Day | 65.24% | 0.18% |
Worst Day | -37.87% | 0.0% |
Best Month | 44.02% | 1.83% |
Worst Month | -40.91% | 0.63% |
Best Year | 12.76% | 18.74% |
Worst Year | 4.14% | 0.63% |
Avg. Drawdown | -6.88% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.75 | - |
Ulcer Index | 0.2 | 0.0 |
Serenity Index | 0.27 | - |
Avg. Up Month | 7.87% | 1.08% |
Avg. Down Month | - | - |
Win Days | 50.66% | 100.0% |
Win Month | 62.96% | 100.0% |
Win Quarter | 70.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.1 | - |
Alpha | 0.4 | - |
Correlation | 0.05% | - |
Treynor Ratio | 398.24% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 0.63 | 8.14 | 12.86 | + |
2023 | 10.00 | 4.14 | 0.41 | - |
2024 | 18.74 | 12.76 | 0.68 | - |
2025 | 3.61 | 9.68 | 2.68 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-07 | 2025-02-14 | -52.30 | 557 |
2023-04-14 | 2023-06-13 | -8.86 | 60 |
2023-02-15 | 2023-04-06 | -7.13 | 50 |
2022-12-06 | 2022-12-19 | -4.31 | 13 |
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 |