Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 25.72% | 53.06% |
CAGR﹪ | 6.01% | 11.46% |
Sharpe | 0.39 | 29.26 |
Prob. Sharpe Ratio | 77.55% | 100.0% |
Smart Sharpe | 0.22 | 16.34 |
Sortino | 0.56 | - |
Smart Sortino | 0.31 | - |
Sortino/√2 | 0.39 | - |
Smart Sortino/√2 | 0.22 | - |
Omega | 1.15 | 1.15 |
Max Drawdown | -29.99% | - |
Longest DD Days | - | - |
Volatility (ann.) | 21.03% | 0.38% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.2 | - |
Skew | 0.87 | 2.13 |
Kurtosis | 255.82 | 8.27 |
Expected Daily | 0.02% | 0.04% |
Expected Monthly | 0.49% | 0.91% |
Expected Yearly | 4.68% | 8.89% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.15% | -0.0% |
Expected Shortfall (cVaR) | -2.15% | -0.0% |
Max Consecutive Wins | 9 | 970 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.15 | - |
Gain/Pain (1M) | 1.73 | - |
Payoff Ratio | - | - |
Profit Factor | 1.15 | - |
Common Sense Ratio | 1.3 | - |
CPC Index | - | - |
Tail Ratio | 1.13 | 4.2 |
Outlier Win Ratio | 2.51 | 24.79 |
Outlier Loss Ratio | 2.26 | - |
MTD | 2.77% | 1.79% |
3M | 9.97% | 6.58% |
6M | 4.72% | 11.86% |
YTD | 5.14% | 3.61% |
1Y | 8.17% | 20.85% |
3Y (ann.) | 12.06% | 13.54% |
5Y (ann.) | 6.01% | 11.46% |
10Y (ann.) | 6.01% | 11.46% |
All-time (ann.) | 6.01% | 11.46% |
Best Day | 25.56% | 0.18% |
Worst Day | -24.07% | 0.0% |
Best Month | 6.35% | 1.83% |
Worst Month | -9.42% | 0.35% |
Best Year | 6.54% | 18.74% |
Worst Year | 2.57% | 3.61% |
Avg. Drawdown | -1.17% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.86 | - |
Ulcer Index | 0.04 | 0.0 |
Serenity Index | 1.15 | - |
Avg. Up Month | 1.45% | 0.88% |
Avg. Down Month | - | - |
Win Days | 54.56% | 100.0% |
Win Month | 72.34% | 100.0% |
Win Quarter | 70.59% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.52 | - |
Alpha | 0.02 | - |
Correlation | 0.94% | - |
Treynor Ratio | 49.23% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 5.00 | 2.57 | 0.51 | - |
2022 | 7.72 | 4.85 | 0.63 | - |
2023 | 10.00 | 6.54 | 0.65 | - |
2024 | 18.74 | 4.36 | 0.23 | - |
2025 | 3.61 | 5.14 | 1.42 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-09-15 | -29.99 | 253 |
2024-08-20 | 2025-01-09 | -8.87 | 142 |
2022-09-19 | 2022-11-21 | -6.94 | 63 |
2023-08-11 | 2024-03-05 | -4.78 | 207 |
2021-10-21 | 2022-01-03 | -3.77 | 74 |
2024-05-21 | 2024-08-13 | -3.14 | 84 |
2022-12-19 | 2022-12-30 | -1.71 | 11 |
2023-06-28 | 2023-08-08 | -1.56 | 41 |
2021-09-15 | 2021-10-01 | -1.45 | 16 |
2022-11-24 | 2022-11-30 | -1.38 | 6 |