Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 56.15% | 50.93% |
CAGR﹪ | 83.07% | 74.81% |
Sharpe | -4.09 | -5.05 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.26 | -4.03 |
Sortino | -4.75 | -5.47 |
Smart Sortino | -3.79 | -4.36 |
Sortino/√2 | -3.36 | -3.86 |
Smart Sortino/√2 | -2.68 | -3.08 |
Omega | 0.5 | 0.5 |
Max Drawdown | -11.28% | -11.91% |
Longest DD Days | 56 | 56 |
Volatility (ann.) | 33.6% | 28.51% |
R^2 | 0.35 | 0.35 |
Information Ratio | 0.01 | 0.01 |
Calmar | 7.37 | 6.28 |
Skew | -0.15 | -0.49 |
Kurtosis | 1.24 | 0.99 |
Expected Daily | 0.26% | 0.24% |
Expected Monthly | 4.56% | 4.2% |
Expected Yearly | 24.96% | 22.85% |
Kelly Criterion | 15.93% | 17.92% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.2% | -2.7% |
Expected Shortfall (cVaR) | -3.2% | -2.7% |
Max Consecutive Wins | 7 | 6 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | 0.43 | 0.43 |
Gain/Pain (1M) | 41.82 | 8.43 |
Payoff Ratio | 1.04 | 1.16 |
Profit Factor | 1.43 | 1.43 |
Common Sense Ratio | 1.71 | 1.61 |
CPC Index | 0.85 | 0.93 |
Tail Ratio | 1.2 | 1.12 |
Outlier Win Ratio | 2.86 | 3.04 |
Outlier Loss Ratio | 2.94 | 3.45 |
MTD | 3.07% | -0.22% |
3M | 18.08% | 10.87% |
6M | 19.51% | 13.01% |
YTD | 45.96% | 41.2% |
1Y | 56.15% | 50.93% |
3Y (ann.) | 83.07% | 74.81% |
5Y (ann.) | 83.07% | 74.81% |
10Y (ann.) | 83.07% | 74.81% |
All-time (ann.) | 83.07% | 74.81% |
Best Day | 7.05% | 4.46% |
Worst Day | -7.36% | -6.85% |
Best Month | 17.88% | 18.89% |
Worst Month | -1.34% | -2.94% |
Best Year | 45.96% | 41.2% |
Worst Year | 6.98% | 6.89% |
Avg. Drawdown | -3.98% | -3.66% |
Avg. Drawdown Days | 12 | 11 |
Recovery Factor | 4.98 | 4.28 |
Ulcer Index | 0.04 | 0.04 |
Serenity Index | -43.17 | -32.15 |
Avg. Up Month | 7.75% | 8.36% |
Avg. Down Month | -1.09% | -2.71% |
Win Days | 57.23% | 55.88% |
Win Month | 80.0% | 60.0% |
Win Quarter | 100.0% | 75.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.7 | - |
Alpha | 0.26 | - |
Correlation | 59.02% | - |
Treynor Ratio | -925.55% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 6.89 | 6.98 | 1.01 | + |
2023 | 41.20 | 45.96 | 1.12 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-04-12 | 2023-06-07 | -11.28 | 56 |
2023-07-13 | 2023-08-16 | -7.93 | 34 |
2023-02-27 | 2023-04-03 | -7.69 | 35 |
2023-08-17 | 2023-09-04 | -7.60 | 18 |
2022-12-15 | 2022-12-20 | -5.18 | 5 |
2022-12-22 | 2023-01-03 | -4.81 | 12 |
2023-06-19 | 2023-06-29 | -4.14 | 10 |
2023-02-21 | 2023-02-24 | -4.00 | 3 |
2023-02-06 | 2023-02-14 | -3.68 | 8 |
2023-01-19 | 2023-01-24 | -3.22 | 5 |