Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 88.0% | 97.0% |
Cumulative Return | 18.69% | 25.2% |
CAGR﹪ | 6.61% | 8.76% |
Sharpe | -10.77 | -12.4 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.8 | -8.98 |
Sortino | -10.0 | -10.4 |
Smart Sortino | -7.24 | -7.53 |
Sortino/√2 | -7.07 | -7.35 |
Smart Sortino/√2 | -5.12 | -5.33 |
Omega | 0.12 | 0.12 |
Max Drawdown | -21.06% | -25.0% |
Longest DD Days | 240 | 162 |
Volatility (ann.) | 18.61% | 16.03% |
R^2 | 0.33 | 0.33 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.31 | 0.35 |
Skew | -1.06 | -7.4 |
Kurtosis | 50.81 | 154.16 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.52% | 0.68% |
Expected Yearly | 4.38% | 5.78% |
Kelly Criterion | -1.91% | 14.85% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.9% | -1.62% |
Expected Shortfall (cVaR) | -1.9% | -1.62% |
Max Consecutive Wins | 8 | 25 |
Max Consecutive Losses | 8 | 9 |
Gain/Pain Ratio | 0.14 | 0.35 |
Gain/Pain (1M) | 1.14 | 1.2 |
Payoff Ratio | 0.8 | 0.64 |
Profit Factor | 1.14 | 1.35 |
Common Sense Ratio | 1.35 | 2.1 |
CPC Index | 0.5 | 0.58 |
Tail Ratio | 1.19 | 1.55 |
Outlier Win Ratio | 6.24 | 12.61 |
Outlier Loss Ratio | 4.0 | 6.9 |
MTD | 1.02% | 0.74% |
3M | 1.97% | 2.37% |
6M | 4.94% | 5.55% |
YTD | 2.76% | 3.27% |
1Y | 7.69% | 8.93% |
3Y (ann.) | 6.61% | 8.76% |
5Y (ann.) | 6.61% | 8.76% |
10Y (ann.) | 6.61% | 8.76% |
All-time (ann.) | 6.61% | 8.76% |
Best Day | 11.77% | 10.67% |
Worst Day | -14.25% | -15.72% |
Best Month | 8.18% | 9.03% |
Worst Month | -9.29% | -11.08% |
Best Year | 8.43% | 11.03% |
Worst Year | -0.27% | 0.81% |
Avg. Drawdown | -0.96% | -0.8% |
Avg. Drawdown Days | 13 | 11 |
Recovery Factor | 0.89 | 1.01 |
Ulcer Index | 0.04 | 0.04 |
Serenity Index | -31.59 | -25.44 |
Avg. Up Month | 2.05% | 2.46% |
Avg. Down Month | -2.51% | -2.86% |
Win Days | 54.83% | 66.77% |
Win Month | 64.52% | 72.73% |
Win Quarter | 58.33% | 83.33% |
Win Year | 75.0% | 100.0% |
Beta | 0.66 | - |
Alpha | 0.02 | - |
Correlation | 57.01% | - |
Treynor Ratio | -1029.54% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.81 | -0.27 | -0.33 | - |
2022 | 8.31 | 6.81 | 0.82 | - |
2023 | 11.03 | 8.43 | 0.76 | - |
2024 | 3.27 | 2.76 | 0.84 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-19 | 2022-06-16 | -21.06 | 240 |
2022-09-20 | 2022-10-26 | -7.63 | 36 |
2022-06-21 | 2022-09-09 | -5.04 | 80 |
2023-08-14 | 2023-12-25 | -2.34 | 133 |
2022-10-27 | 2022-11-15 | -1.99 | 19 |
2022-12-07 | 2022-12-22 | -1.53 | 15 |
2022-11-16 | 2022-11-30 | -0.87 | 14 |
2024-01-08 | 2024-01-10 | -0.86 | 2 |
2024-02-20 | 2024-02-29 | -0.85 | 9 |
2024-03-12 | 2024-04-02 | -0.85 | 21 |