Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 89.0% | 99.0% |
Cumulative Return | 7.62% | 1.64% |
CAGR﹪ | 30.76% | 6.14% |
Sharpe | 3.48 | 51.9 |
Prob. Sharpe Ratio | 95.52% | - |
Smart Sharpe | 3.24 | 48.28 |
Sortino | 5.61 | - |
Smart Sortino | 5.22 | - |
Sortino/√2 | 3.97 | - |
Smart Sortino/√2 | 3.69 | - |
Omega | 1.81 | 1.81 |
Max Drawdown | -3.0% | - |
Longest DD Days | - | - |
Volatility (ann.) | 7.69% | 0.11% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.17 | 0.17 |
Calmar | 10.24 | - |
Skew | -0.57 | 0.34 |
Kurtosis | 3.02 | 0.27 |
Expected Daily | 0.11% | 0.02% |
Expected Monthly | 1.48% | 0.33% |
Expected Yearly | 7.62% | 1.64% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.69% | -0.01% |
Expected Shortfall (cVaR) | -0.69% | -0.01% |
Max Consecutive Wins | 4 | 69 |
Max Consecutive Losses | 4 | 0 |
Gain/Pain Ratio | 0.81 | - |
Gain/Pain (1M) | - | - |
Payoff Ratio | - | - |
Profit Factor | 1.81 | - |
Common Sense Ratio | 2.88 | - |
CPC Index | - | - |
Tail Ratio | 1.59 | 1.74 |
Outlier Win Ratio | 1.7 | 27.01 |
Outlier Loss Ratio | 1.38 | - |
MTD | 0.74% | 0.12% |
3M | 7.2% | 1.4% |
6M | 7.62% | 1.64% |
YTD | 7.62% | 1.64% |
1Y | 7.62% | 1.64% |
3Y (ann.) | 30.76% | 6.14% |
5Y (ann.) | 30.76% | 6.14% |
10Y (ann.) | 30.76% | 6.14% |
All-time (ann.) | 30.76% | 6.14% |
Best Day | 1.28% | 0.03% |
Worst Day | -1.86% | 0.0% |
Best Month | 2.72% | 0.68% |
Worst Month | 0.0% | 0.0% |
Best Year | 7.62% | 1.64% |
Worst Year | 7.62% | 1.64% |
Avg. Drawdown | -0.69% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 2.54 | - |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | 5.73 | - |
Avg. Up Month | 1.86% | 0.41% |
Avg. Down Month | - | - |
Win Days | 59.68% | 100.0% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.11 | - |
Alpha | 0.26 | - |
Correlation | 0.16% | - |
Treynor Ratio | 70.02% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 1.64 | 7.62 | 4.64 | + |
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 |
2024-02-02 | 2024-02-07 | -0.49 | 5 |
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 |