Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | 8.32% | 12.06% |
CAGR﹪ | 6.95% | 10.05% |
Sharpe | 0.52 | 36.2 |
Prob. Sharpe Ratio | 71.42% | - |
Smart Sharpe | 0.45 | 31.31 |
Sortino | 0.76 | - |
Smart Sortino | 0.65 | - |
Sortino/√2 | 0.53 | - |
Smart Sortino/√2 | 0.46 | - |
Omega | 1.11 | 1.11 |
Max Drawdown | -11.82% | - |
Longest DD Days | - | - |
Volatility (ann.) | 14.99% | 0.26% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.59 | - |
Skew | 0.08 | 0.21 |
Kurtosis | 20.8 | -0.71 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.5% | 0.71% |
Expected Yearly | 4.08% | 5.86% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.52% | -0.01% |
Expected Shortfall (cVaR) | -1.52% | -0.01% |
Max Consecutive Wins | 5 | 303 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.11 | - |
Gain/Pain (1M) | 0.5 | - |
Payoff Ratio | - | - |
Profit Factor | 1.11 | - |
Common Sense Ratio | 1.11 | - |
CPC Index | - | - |
Tail Ratio | 1.0 | 7.45 |
Outlier Win Ratio | 1.72 | 26.37 |
Outlier Loss Ratio | 1.46 | - |
MTD | -6.26% | 0.28% |
3M | -0.0% | 3.02% |
6M | 5.5% | 6.65% |
YTD | -0.18% | 3.21% |
1Y | 3.31% | 10.73% |
3Y (ann.) | 6.95% | 10.05% |
5Y (ann.) | 6.95% | 10.05% |
10Y (ann.) | 6.95% | 10.05% |
All-time (ann.) | 6.95% | 10.05% |
Best Day | 7.02% | 0.07% |
Worst Day | -7.18% | 0.0% |
Best Month | 6.82% | 1.43% |
Worst Month | -6.26% | 0.0% |
Best Year | 8.51% | 8.58% |
Worst Year | -0.18% | 3.21% |
Avg. Drawdown | -1.44% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.7 | - |
Ulcer Index | 0.05 | 0.0 |
Serenity Index | 0.19 | - |
Avg. Up Month | 3.48% | 0.85% |
Avg. Down Month | - | - |
Win Days | 50.9% | 100.0% |
Win Month | 53.33% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | 2.19 | - |
Alpha | -0.13 | - |
Correlation | 3.82% | - |
Treynor Ratio | 3.79% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 8.58 | 8.51 | 0.99 | - |
2025 | 3.21 | -0.18 | -0.06 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-05-20 | 2025-01-10 | -11.82 | 235 |
2025-03-21 | 2025-04-09 | -9.14 | 19 |
2024-02-16 | 2024-03-01 | -3.00 | 14 |
2025-02-21 | 2025-03-18 | -2.51 | 25 |
2024-03-13 | 2024-03-26 | -0.96 | 13 |
2025-01-22 | 2025-01-29 | -0.89 | 7 |
2024-04-08 | 2024-04-10 | -0.85 | 2 |
2025-02-18 | 2025-02-20 | -0.84 | 2 |
2024-04-23 | 2024-04-27 | -0.74 | 4 |
2025-01-31 | 2025-02-06 | -0.62 | 6 |