Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 93.0% | 100.0% |
Cumulative Return | 22.39% | 57.15% |
CAGR﹪ | 8.13% | 19.12% |
Sharpe | -2.61 | -9.01 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.76 | -6.08 |
Sortino | -4.16 | -8.66 |
Smart Sortino | -2.81 | -5.85 |
Sortino/√2 | -2.94 | -6.13 |
Smart Sortino/√2 | -1.99 | -4.14 |
Omega | 0.47 | 0.47 |
Max Drawdown | -52.3% | -27.13% |
Longest DD Days | 707 | 273 |
Volatility (ann.) | 68.59% | 20.81% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.16 | 0.7 |
Skew | 6.02 | 0.5 |
Kurtosis | 109.93 | 4.75 |
Expected Daily | 0.03% | 0.08% |
Expected Monthly | 0.63% | 1.42% |
Expected Yearly | 5.18% | 11.96% |
Kelly Criterion | -1.3% | 8.4% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.99% | -2.07% |
Expected Shortfall (cVaR) | -6.99% | -2.07% |
Max Consecutive Wins | 10 | 9 |
Max Consecutive Losses | 7 | 14 |
Gain/Pain Ratio | 0.14 | 0.2 |
Gain/Pain (1M) | 1.0 | 0.98 |
Payoff Ratio | 0.97 | 0.86 |
Profit Factor | 1.14 | 1.2 |
Common Sense Ratio | 1.09 | 1.15 |
CPC Index | 0.56 | 0.59 |
Tail Ratio | 0.95 | 0.96 |
Outlier Win Ratio | 3.56 | 7.06 |
Outlier Loss Ratio | 3.26 | 5.75 |
MTD | -2.43% | -3.9% |
3M | -2.94% | -1.07% |
6M | -4.65% | -2.32% |
YTD | -4.99% | -2.44% |
1Y | -6.95% | -1.48% |
3Y (ann.) | 8.13% | 19.12% |
5Y (ann.) | 8.13% | 19.12% |
10Y (ann.) | 8.13% | 19.12% |
All-time (ann.) | 8.13% | 19.12% |
Best Day | 65.24% | 9.2% |
Worst Day | -37.87% | -3.97% |
Best Month | 44.02% | 13.91% |
Worst Month | -40.91% | -10.13% |
Best Year | 12.76% | 54.34% |
Worst Year | -4.99% | -2.44% |
Avg. Drawdown | -6.65% | -2.92% |
Avg. Drawdown Days | 59 | 22 |
Recovery Factor | 0.43 | 2.11 |
Ulcer Index | 0.2 | 0.1 |
Serenity Index | -4.16 | -4.08 |
Avg. Up Month | 5.59% | 5.49% |
Avg. Down Month | -7.42% | -4.57% |
Win Days | 50.09% | 57.7% |
Win Month | 56.25% | 62.5% |
Win Quarter | 58.33% | 66.67% |
Win Year | 75.0% | 75.0% |
Beta | 0.42 | - |
Alpha | 0.21 | - |
Correlation | 12.71% | - |
Treynor Ratio | -1617.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 2.69 | 9.69 | 3.61 | + |
2023 | 54.34 | 4.14 | 0.08 | - |
2024 | 1.64 | 12.76 | 7.80 | + |
2025 | -2.44 | -4.99 | 2.04 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-07 | 2025-07-14 | -52.30 | 707 |
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 |