Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 89.0% | 100.0% |
Cumulative Return | 17.56% | 18.4% |
CAGR﹪ | 6.35% | 6.64% |
Sharpe | 0.43 | 17.84 |
Prob. Sharpe Ratio | 75.07% | 100.0% |
Smart Sharpe | 0.3 | 12.46 |
Sortino | 0.61 | 67.41 |
Smart Sortino | 0.43 | 47.06 |
Sortino/√2 | 0.43 | 47.67 |
Smart Sortino/√2 | 0.3 | 33.27 |
Omega | 1.13 | 1.13 |
Max Drawdown | -21.06% | -1.25% |
Longest DD Days | 240 | 209 |
Volatility (ann.) | 18.95% | 0.38% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.3 | 5.29 |
Skew | -1.05 | 0.08 |
Kurtosis | 48.99 | 0.87 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.52% | 0.55% |
Expected Yearly | 4.13% | 4.31% |
Kelly Criterion | -44.86% | 83.57% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.93% | -0.01% |
Expected Shortfall (cVaR) | -1.93% | -0.01% |
Max Consecutive Wins | 8 | 398 |
Max Consecutive Losses | 8 | 65 |
Gain/Pain Ratio | 0.13 | 13.38 |
Gain/Pain (1M) | 1.09 | 13.38 |
Payoff Ratio | 0.46 | 1.66 |
Profit Factor | 1.13 | 14.38 |
Common Sense Ratio | 1.3 | 49.97 |
CPC Index | 0.28 | 21.43 |
Tail Ratio | 1.15 | 3.47 |
Outlier Win Ratio | 4.32 | 63.62 |
Outlier Loss Ratio | 3.02 | 94.07 |
MTD | 0.08% | 0.65% |
3M | 1.64% | 2.27% |
6M | 3.69% | 5.04% |
YTD | 1.81% | 2.2% |
1Y | 6.89% | 8.04% |
3Y (ann.) | 6.35% | 6.64% |
5Y (ann.) | 6.35% | 6.64% |
10Y (ann.) | 6.35% | 6.64% |
All-time (ann.) | 6.35% | 6.64% |
Best Day | 11.77% | 0.1% |
Worst Day | -14.25% | -0.02% |
Best Month | 8.18% | 1.56% |
Worst Month | -9.29% | -0.52% |
Best Year | 8.43% | 7.42% |
Worst Year | -0.3% | 2.2% |
Avg. Drawdown | -0.98% | -1.25% |
Avg. Drawdown Days | 13 | 209 |
Recovery Factor | 0.83 | 14.67 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 0.93 | 1.35 |
Avg. Up Month | 1.61% | 0.65% |
Avg. Down Month | - | - |
Win Days | 54.17% | 89.75% |
Win Month | 64.52% | 90.32% |
Win Quarter | 54.55% | 90.91% |
Win Year | 75.0% | 100.0% |
Beta | -1.48 | - |
Alpha | 0.18 | - |
Correlation | -2.93% | - |
Treynor Ratio | -11.89% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.70 | -0.30 | -0.08 | - |
2022 | 4.01 | 6.81 | 1.70 | + |
2023 | 7.42 | 8.43 | 1.14 | + |
2024 | 2.20 | 1.81 | 0.82 | - |
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 | 2023-12-22 | -2.34 | 130 |
2022-10-27 | 2022-11-15 | -1.99 | 19 |
2022-12-07 | 2022-12-19 | -1.53 | 12 |
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 | 2024-03-28 | -0.85 | 16 |