Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 10.62% | 6.39% |
CAGR﹪ | 17.06% | 10.14% |
Sharpe | 25.2 | 41.42 |
Prob. Sharpe Ratio | - | - |
Smart Sharpe | 19.03 | 31.27 |
Sortino | - | - |
Smart Sortino | - | - |
Sortino/√2 | - | - |
Smart Sortino/√2 | - | - |
Omega | - | - |
Max Drawdown | % | % |
Longest DD Days | - | - |
Volatility (ann.) | 0.61% | 0.23% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.58 | 0.58 |
Calmar | - | - |
Skew | 1.36 | 0.51 |
Kurtosis | 0.36 | 0.05 |
Expected Daily | 0.06% | 0.04% |
Expected Monthly | 1.13% | 0.69% |
Expected Yearly | 10.62% | 6.39% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.0% | -0.01% |
Expected Shortfall (cVaR) | -0.0% | -0.01% |
Max Consecutive Wins | 164 | 164 |
Max Consecutive Losses | 0 | 0 |
Gain/Pain Ratio | - | - |
Gain/Pain (1M) | - | - |
Payoff Ratio | - | - |
Profit Factor | - | - |
Common Sense Ratio | - | - |
CPC Index | - | - |
Tail Ratio | 4.61 | 3.67 |
Outlier Win Ratio | 1.92 | 3.14 |
Outlier Loss Ratio | - | - |
MTD | 0.34% | 0.25% |
3M | 4.34% | 3.05% |
6M | 8.46% | 4.78% |
YTD | 10.62% | 6.39% |
1Y | 10.62% | 6.39% |
3Y (ann.) | 17.06% | 10.14% |
5Y (ann.) | 17.06% | 10.14% |
10Y (ann.) | 17.06% | 10.14% |
All-time (ann.) | 17.06% | 10.14% |
Best Day | 0.17% | 0.07% |
Worst Day | 0.0% | 0.0% |
Best Month | 1.54% | 1.14% |
Worst Month | 0.34% | 0.25% |
Best Year | 10.62% | 6.39% |
Worst Year | 10.62% | 6.39% |
Recovery Factor | - | - |
Ulcer Index | 0.0 | 0.0 |
Serenity Index | - | - |
Avg. Up Month | 1.13% | 0.69% |
Avg. Down Month | - | - |
Win Days | 100.0% | 100.0% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.03 | - |
Alpha | 0.15 | - |
Correlation | 1.06% | - |
Treynor Ratio | 374.45% | - |
Avg. Drawdown Days | - | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 6.39 | 10.62 | 1.66 | + |