Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 90.0% | 96.0% |
Cumulative Return | 18.19% | 18.71% |
CAGR﹪ | 6.45% | 6.62% |
Sharpe | -10.67 | -14.63 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.44 | -10.21 |
Sortino | -9.94 | -11.53 |
Smart Sortino | -6.93 | -8.05 |
Sortino/√2 | -7.03 | -8.15 |
Smart Sortino/√2 | -4.9 | -5.69 |
Omega | 0.13 | 0.13 |
Max Drawdown | -21.06% | -21.77% |
Longest DD Days | 240 | 281 |
Volatility (ann.) | 18.79% | 13.75% |
R^2 | 0.45 | 0.45 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.31 | 0.3 |
Skew | -1.05 | -6.27 |
Kurtosis | 49.77 | 194.34 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.52% | 0.54% |
Expected Yearly | 4.27% | 4.38% |
Kelly Criterion | -0.06% | 12.47% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.91% | -1.39% |
Expected Shortfall (cVaR) | -1.91% | -1.39% |
Max Consecutive Wins | 8 | 23 |
Max Consecutive Losses | 8 | 9 |
Gain/Pain Ratio | 0.13 | 0.3 |
Gain/Pain (1M) | 1.12 | 1.06 |
Payoff Ratio | 0.82 | 0.69 |
Profit Factor | 1.13 | 1.3 |
Common Sense Ratio | 1.32 | 1.76 |
CPC Index | 0.51 | 0.58 |
Tail Ratio | 1.16 | 1.36 |
Outlier Win Ratio | 5.87 | 13.54 |
Outlier Loss Ratio | 4.13 | 8.42 |
MTD | 0.59% | 0.64% |
3M | 1.46% | 2.01% |
6M | 4.41% | 4.58% |
YTD | 2.33% | 2.79% |
1Y | 6.76% | 7.42% |
3Y (ann.) | 6.45% | 6.62% |
5Y (ann.) | 6.45% | 6.62% |
10Y (ann.) | 6.45% | 6.62% |
All-time (ann.) | 6.45% | 6.62% |
Best Day | 11.77% | 10.48% |
Worst Day | -14.25% | -15.47% |
Best Month | 8.18% | 8.32% |
Worst Month | -9.29% | -11.11% |
Best Year | 8.43% | 8.97% |
Worst Year | -0.27% | -0.3% |
Avg. Drawdown | -0.96% | -0.95% |
Avg. Drawdown Days | 13 | 16 |
Recovery Factor | 0.86 | 0.86 |
Ulcer Index | 0.03 | 0.03 |
Serenity Index | -36.61 | -29.06 |
Avg. Up Month | 2.03% | 1.96% |
Avg. Down Month | -2.21% | -2.47% |
Win Days | 54.84% | 64.19% |
Win Month | 64.52% | 71.88% |
Win Quarter | 58.33% | 66.67% |
Win Year | 75.0% | 75.0% |
Beta | 0.92 | - |
Alpha | 0.01 | - |
Correlation | 67.11% | - |
Treynor Ratio | -743.11% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -0.30 | -0.27 | 0.90 | + |
2022 | 6.30 | 6.81 | 1.08 | + |
2023 | 8.97 | 8.43 | 0.94 | - |
2024 | 2.79 | 2.33 | 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 |