Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 54.0% | 99.0% |
Cumulative Return | 40.8% | 97.68% |
CAGR﹪ | 7.13% | 14.7% |
Sharpe | -11.62 | -9.16 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -10.06 | -7.93 |
Sortino | -10.05 | -8.67 |
Smart Sortino | -8.7 | -7.51 |
Sortino/√2 | -7.1 | -6.13 |
Smart Sortino/√2 | -6.15 | -5.31 |
Omega | 0.11 | 0.11 |
Max Drawdown | -35.32% | -33.79% |
Longest DD Days | 819 | 708 |
Volatility (ann.) | 17.26% | 21.09% |
R^2 | 0.16 | 0.16 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.2 | 0.43 |
Skew | -1.62 | -0.52 |
Kurtosis | 27.83 | 13.66 |
Expected Daily | 0.03% | 0.05% |
Expected Monthly | 0.57% | 1.14% |
Expected Yearly | 5.87% | 12.03% |
Kelly Criterion | 8.34% | -1.25% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.76% | -2.12% |
Expected Shortfall (cVaR) | -1.76% | -2.12% |
Max Consecutive Wins | 8 | 8 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | 0.14 | 0.16 |
Gain/Pain (1M) | 0.78 | 0.85 |
Payoff Ratio | 0.87 | 0.83 |
Profit Factor | 1.14 | 1.16 |
Common Sense Ratio | 1.22 | 1.14 |
CPC Index | 0.57 | 0.52 |
Tail Ratio | 1.08 | 0.98 |
Outlier Win Ratio | 8.5 | 3.59 |
Outlier Loss Ratio | 3.28 | 3.91 |
MTD | 0.0% | 3.22% |
3M | 0.0% | 10.3% |
6M | 0.0% | 23.89% |
YTD | 0.0% | 10.56% |
1Y | 0.0% | 34.21% |
3Y (ann.) | -0.72% | 9.82% |
5Y (ann.) | 6.99% | 14.44% |
10Y (ann.) | 7.13% | 14.7% |
All-time (ann.) | 7.13% | 14.7% |
Best Day | 8.16% | 9.39% |
Worst Day | -12.73% | -11.98% |
Best Month | 11.28% | 12.82% |
Worst Month | -10.09% | -12.35% |
Best Year | 28.04% | 28.71% |
Worst Year | -14.82% | -18.11% |
Avg. Drawdown | -2.53% | -1.74% |
Avg. Drawdown Days | 27 | 16 |
Recovery Factor | 1.16 | 2.89 |
Ulcer Index | 0.11 | 0.09 |
Serenity Index | -3.29 | -4.9 |
Avg. Up Month | 4.14% | 4.38% |
Avg. Down Month | -5.14% | -4.41% |
Win Days | 57.37% | 54.0% |
Win Month | 68.57% | 65.0% |
Win Quarter | 83.33% | 75.0% |
Win Year | 75.0% | 83.33% |
Beta | 0.32 | - |
Alpha | 0.03 | - |
Correlation | 39.43% | - |
Treynor Ratio | -2042.92% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 13.46 | 11.60 | 0.86 | - |
2020 | 18.40 | 15.68 | 0.85 | - |
2021 | 28.71 | 28.04 | 0.98 | - |
2022 | -18.11 | -14.82 | 0.82 | + |
2023 | 26.29 | 0.00 | 0.00 | - |
2024 | 10.56 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-20 | 2020-08-24 | -35.32 | 186 |
2021-12-30 | 2024-03-28 | -21.05 | 819 |
2020-09-03 | 2020-11-09 | -8.91 | 67 |
2021-09-07 | 2021-10-29 | -6.40 | 52 |
2019-04-30 | 2019-06-20 | -6.09 | 51 |
2019-07-30 | 2019-10-25 | -5.66 | 87 |
2021-11-10 | 2021-12-28 | -5.42 | 48 |
2021-02-16 | 2021-03-16 | -4.79 | 28 |
2020-01-23 | 2020-02-11 | -3.81 | 19 |
2021-05-11 | 2021-06-08 | -3.50 | 28 |