Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 88.0% | 94.0% |
Cumulative Return | 7.62% | 8.29% |
CAGR﹪ | 33.39% | 36.72% |
Sharpe | -23.17 | -20.3 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -22.02 | -19.3 |
Sortino | -13.18 | -12.91 |
Smart Sortino | -12.52 | -12.27 |
Sortino/√2 | -9.32 | -9.13 |
Smart Sortino/√2 | -8.86 | -8.68 |
Omega | 0.02 | 0.02 |
Max Drawdown | -3.0% | -2.27% |
Longest DD Days | 14 | 26 |
Volatility (ann.) | 7.79% | 8.77% |
R^2 | 0.15 | 0.15 |
Information Ratio | -0.02 | -0.02 |
Calmar | 11.11 | 16.2 |
Skew | -0.61 | -0.18 |
Kurtosis | 3.09 | 9.95 |
Expected Daily | 0.11% | 0.12% |
Expected Monthly | 1.85% | 2.01% |
Expected Yearly | 7.62% | 8.29% |
Kelly Criterion | 19.08% | 45.33% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.69% | -0.79% |
Expected Shortfall (cVaR) | -0.69% | -0.79% |
Max Consecutive Wins | 4 | 6 |
Max Consecutive Losses | 4 | 2 |
Gain/Pain Ratio | 0.86 | 1.13 |
Gain/Pain (1M) | - | - |
Payoff Ratio | 0.96 | 1.13 |
Profit Factor | 1.86 | 2.13 |
Common Sense Ratio | 2.99 | 3.48 |
CPC Index | 1.08 | 1.71 |
Tail Ratio | 1.61 | 1.63 |
Outlier Win Ratio | 3.86 | 4.54 |
Outlier Loss Ratio | 3.65 | 3.44 |
MTD | 0.83% | 0.76% |
3M | 7.19% | 6.99% |
6M | 7.62% | 8.29% |
YTD | 7.62% | 8.29% |
1Y | 7.62% | 8.29% |
3Y (ann.) | 33.39% | 36.72% |
5Y (ann.) | 33.39% | 36.72% |
10Y (ann.) | 33.39% | 36.72% |
All-time (ann.) | 33.39% | 36.72% |
Best Day | 1.28% | 2.5% |
Worst Day | -1.86% | -2.27% |
Best Month | 2.72% | 3.17% |
Worst Month | 0.83% | 0.76% |
Best Year | 7.62% | 8.29% |
Worst Year | 7.62% | 8.29% |
Avg. Drawdown | -0.76% | -0.66% |
Avg. Drawdown Days | 5 | 6 |
Recovery Factor | 2.54 | 3.66 |
Ulcer Index | 0.01 | 0.01 |
Serenity Index | -508.14 | -440.14 |
Avg. Up Month | 1.85% | 2.02% |
Avg. Down Month | - | - |
Win Days | 60.34% | 70.97% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.35 | - |
Alpha | 0.18 | - |
Correlation | 39.26% | - |
Treynor Ratio | -1984.87% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 8.29 | 7.62 | 0.92 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-02-16 | 2024-03-01 | -3.00 | 14 |
2024-03-13 | 2024-03-26 | -0.96 | 13 |
2024-04-08 | 2024-04-10 | -0.85 | 2 |
2024-04-23 | 2024-04-27 | -0.74 | 4 |
2024-05-02 | 2024-05-06 | -0.56 | 4 |
2024-04-02 | 2024-04-05 | -0.47 | 3 |
2024-03-05 | 2024-03-07 | -0.38 | 2 |
2024-02-09 | 2024-02-12 | -0.29 | 3 |
2024-04-16 | 2024-04-18 | -0.28 | 2 |
2024-04-11 | 2024-04-12 | -0.09 | 1 |