Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 91.0% | 100.0% |
Cumulative Return | 34.24% | 70.71% |
CAGR﹪ | 25.69% | 51.48% |
Sharpe | -1.39 | -10.94 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -0.92 | -7.2 |
Sortino | -2.37 | -9.53 |
Smart Sortino | -1.56 | -6.28 |
Sortino/√2 | -1.68 | -6.74 |
Smart Sortino/√2 | -1.1 | -4.44 |
Omega | 0.66 | 0.66 |
Max Drawdown | -52.3% | -7.64% |
Longest DD Days | 234 | 99 |
Volatility (ann.) | 98.69% | 14.41% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.49 | 6.74 |
Skew | 4.4 | -0.37 |
Kurtosis | 55.32 | 2.17 |
Expected Daily | 0.11% | 0.2% |
Expected Monthly | 1.86% | 3.4% |
Expected Yearly | 10.31% | 19.51% |
Kelly Criterion | -5.01% | 30.8% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -9.94% | -1.29% |
Expected Shortfall (cVaR) | -9.94% | -1.29% |
Max Consecutive Wins | 10 | 9 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | 0.25 | 0.88 |
Gain/Pain (1M) | 2.59 | 11.49 |
Payoff Ratio | 0.81 | 1.03 |
Profit Factor | 1.25 | 1.88 |
Common Sense Ratio | 1.06 | 2.32 |
CPC Index | 0.54 | 1.26 |
Tail Ratio | 0.85 | 1.23 |
Outlier Win Ratio | 3.4 | 12.67 |
Outlier Loss Ratio | 2.53 | 10.26 |
MTD | 7.61% | 1.87% |
3M | 18.56% | 7.77% |
6M | -9.9% | 10.97% |
YTD | 17.51% | 7.71% |
1Y | 13.14% | 49.03% |
3Y (ann.) | 25.69% | 51.48% |
5Y (ann.) | 25.69% | 51.48% |
10Y (ann.) | 25.69% | 51.48% |
All-time (ann.) | 25.69% | 51.48% |
Best Day | 65.24% | 3.2% |
Worst Day | -37.87% | -3.36% |
Best Month | 44.02% | 10.63% |
Worst Month | -40.91% | -2.47% |
Best Year | 17.51% | 54.34% |
Worst Year | 4.14% | 2.69% |
Avg. Drawdown | -6.65% | -1.82% |
Avg. Drawdown Days | 27 | 12 |
Recovery Factor | 0.65 | 9.25 |
Ulcer Index | 0.17 | 0.02 |
Serenity Index | -7.37 | -62.33 |
Avg. Up Month | 5.52% | 4.76% |
Avg. Down Month | -21.04% | -1.82% |
Win Days | 52.87% | 64.93% |
Win Month | 75.0% | 81.25% |
Win Quarter | 66.67% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -0.34 | - |
Alpha | 0.89 | - |
Correlation | -4.96% | - |
Treynor Ratio | 1959.65% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 2.69 | 9.69 | 3.61 | + |
2023 | 54.34 | 4.14 | 0.08 | - |
2024 | 7.71 | 17.51 | 2.27 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-07 | 2024-03-28 | -52.30 | 234 |
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 |