Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 12.24% | 15.57% |
CAGR﹪ | 3.99% | 5.03% |
Sharpe | -6.5 | -6.18 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.18 | -4.93 |
Sortino | -6.47 | -6.31 |
Smart Sortino | -5.16 | -5.03 |
Sortino/√2 | -4.57 | -4.46 |
Smart Sortino/√2 | -3.65 | -3.56 |
Omega | 0.2 | 0.2 |
Max Drawdown | -52.71% | -53.53% |
Longest DD Days | 898 | 889 |
Volatility (ann.) | 30.68% | 32.01% |
R^2 | 0.88 | 0.88 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.08 | 0.09 |
Skew | -5.99 | -5.9 |
Kurtosis | 102.76 | 127.35 |
Expected Daily | 0.02% | 0.02% |
Expected Monthly | 0.35% | 0.44% |
Expected Yearly | 2.93% | 3.68% |
Kelly Criterion | 0.27% | 1.72% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.14% | -3.27% |
Expected Shortfall (cVaR) | -3.14% | -3.27% |
Max Consecutive Wins | 10 | 9 |
Max Consecutive Losses | 7 | 5 |
Gain/Pain Ratio | 0.08 | 0.1 |
Gain/Pain (1M) | 0.36 | 0.39 |
Payoff Ratio | 0.79 | 0.76 |
Profit Factor | 1.08 | 1.1 |
Common Sense Ratio | 1.06 | 1.14 |
CPC Index | 0.48 | 0.48 |
Tail Ratio | 0.98 | 1.04 |
Outlier Win Ratio | 3.69 | 3.86 |
Outlier Loss Ratio | 4.35 | 4.72 |
MTD | 1.43% | 1.87% |
3M | 5.28% | 7.77% |
6M | 9.54% | 10.97% |
YTD | 6.16% | 7.71% |
1Y | 44.84% | 45.84% |
3Y (ann.) | 3.86% | 5.06% |
5Y (ann.) | 3.99% | 5.03% |
10Y (ann.) | 3.99% | 5.03% |
All-time (ann.) | 3.99% | 5.03% |
Best Day | 15.24% | 20.04% |
Worst Day | -30.58% | -33.28% |
Best Month | 15.94% | 15.56% |
Worst Month | -29.54% | -30.02% |
Best Year | 48.13% | 53.84% |
Worst Year | -35.9% | -37.26% |
Avg. Drawdown | -4.56% | -3.76% |
Avg. Drawdown Days | 60 | 51 |
Recovery Factor | 0.23 | 0.29 |
Ulcer Index | 0.28 | 0.28 |
Serenity Index | -0.98 | -1.0 |
Avg. Up Month | 4.51% | 5.03% |
Avg. Down Month | -7.87% | -8.54% |
Win Days | 56.09% | 57.49% |
Win Month | 69.7% | 66.67% |
Win Quarter | 66.67% | 66.67% |
Win Year | 75.0% | 75.0% |
Beta | 0.9 | - |
Alpha | -0.0 | - |
Correlation | 93.72% | - |
Treynor Ratio | -765.61% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 11.17 | 11.35 | 1.02 | + |
2022 | -37.26 | -35.90 | 0.96 | + |
2023 | 53.84 | 48.13 | 0.89 | - |
2024 | 7.71 | 6.16 | 0.80 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-12 | 2024-03-28 | -52.71 | 898 |
2021-07-06 | 2021-08-10 | -5.38 | 35 |
2021-09-16 | 2021-09-27 | -3.01 | 11 |
2021-04-27 | 2021-05-06 | -2.73 | 9 |
2021-08-18 | 2021-08-31 | -2.54 | 13 |
2021-06-15 | 2021-07-01 | -1.91 | 16 |
2021-05-19 | 2021-05-26 | -1.82 | 7 |
2021-05-11 | 2021-05-18 | -1.72 | 7 |
2021-09-28 | 2021-10-05 | -1.49 | 7 |
2021-04-19 | 2021-04-22 | -1.09 | 3 |