Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 111.43% | 112.85% |
CAGR﹪ | 166.31% | 168.66% |
Sharpe | -1.95 | -3.41 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.77 | -3.1 |
Sortino | -2.48 | -4.07 |
Smart Sortino | -2.26 | -3.7 |
Sortino/√2 | -1.76 | -2.88 |
Smart Sortino/√2 | -1.59 | -2.62 |
Omega | 0.68 | 0.68 |
Max Drawdown | -23.78% | -10.63% |
Longest DD Days | 46 | 46 |
Volatility (ann.) | 47.08% | 28.79% |
R^2 | 0.24 | 0.24 |
Information Ratio | 0.01 | 0.01 |
Calmar | 6.99 | 15.86 |
Skew | -0.81 | -0.14 |
Kurtosis | 16.98 | 0.47 |
Expected Daily | 0.42% | 0.42% |
Expected Monthly | 7.04% | 7.11% |
Expected Yearly | 45.41% | 45.89% |
Kelly Criterion | 25.96% | 25.28% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.41% | -2.54% |
Expected Shortfall (cVaR) | -4.41% | -2.54% |
Max Consecutive Wins | 7 | 9 |
Max Consecutive Losses | 4 | 9 |
Gain/Pain Ratio | 0.65 | 0.88 |
Gain/Pain (1M) | 12.26 | 132.74 |
Payoff Ratio | 1.07 | 0.99 |
Profit Factor | 1.65 | 1.88 |
Common Sense Ratio | 2.21 | 2.52 |
CPC Index | 1.09 | 1.17 |
Tail Ratio | 1.34 | 1.34 |
Outlier Win Ratio | 3.0 | 3.82 |
Outlier Loss Ratio | 2.57 | 3.65 |
MTD | -6.03% | 1.08% |
3M | 19.45% | 23.62% |
6M | 54.17% | 59.71% |
YTD | 84.91% | 99.41% |
1Y | 111.43% | 112.85% |
3Y (ann.) | 166.31% | 168.66% |
5Y (ann.) | 166.31% | 168.66% |
10Y (ann.) | 166.31% | 168.66% |
All-time (ann.) | 166.31% | 168.66% |
Best Day | 17.17% | 4.81% |
Worst Day | -19.92% | -4.64% |
Best Month | 20.05% | 19.55% |
Worst Month | -6.03% | -0.59% |
Best Year | 84.91% | 99.41% |
Worst Year | 14.34% | 6.74% |
Avg. Drawdown | -3.01% | -3.0% |
Avg. Drawdown Days | 6 | 7 |
Recovery Factor | 4.69 | 10.61 |
Ulcer Index | 0.05 | 0.03 |
Serenity Index | -42.24 | -47.95 |
Avg. Up Month | 9.69% | 8.91% |
Avg. Down Month | -0.74% | -0.59% |
Win Days | 61.71% | 62.92% |
Win Month | 81.82% | 90.91% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.81 | - |
Alpha | 0.28 | - |
Correlation | 49.36% | - |
Treynor Ratio | -729.08% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 6.74 | 14.34 | 2.13 | + |
2023 | 99.41 | 84.91 | 0.85 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-07-20 | 2023-09-04 | -23.78 | 46 |
2023-04-12 | 2023-05-18 | -9.45 | 36 |
2023-02-17 | 2023-03-17 | -8.73 | 28 |
2023-02-06 | 2023-02-08 | -5.75 | 2 |
2022-12-15 | 2022-12-20 | -5.55 | 5 |
2023-06-19 | 2023-06-28 | -4.55 | 9 |
2022-12-22 | 2022-12-29 | -4.45 | 7 |
2023-02-09 | 2023-02-14 | -3.63 | 5 |
2022-12-06 | 2022-12-13 | -3.48 | 7 |
2023-05-31 | 2023-06-02 | -2.35 | 2 |