Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 17.04% | 19.21% |
CAGR﹪ | 5.35% | 5.99% |
Sharpe | -8.52 | -6.18 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.61 | -3.34 |
Sortino | -9.05 | -6.36 |
Smart Sortino | -4.9 | -3.44 |
Sortino/√2 | -6.4 | -4.49 |
Smart Sortino/√2 | -3.47 | -2.43 |
Omega | 0.09 | 0.09 |
Max Drawdown | -29.99% | -53.53% |
Longest DD Days | 253 | 889 |
Volatility (ann.) | 23.55% | 31.93% |
R^2 | 0.4 | 0.4 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.18 | 0.11 |
Skew | 0.81 | -5.31 |
Kurtosis | 213.63 | 116.27 |
Expected Daily | 0.02% | 0.02% |
Expected Monthly | 0.44% | 0.49% |
Expected Yearly | 4.01% | 4.49% |
Kelly Criterion | -6.16% | -7.4% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.41% | -3.26% |
Expected Shortfall (cVaR) | -2.41% | -3.26% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.15 | 0.1 |
Gain/Pain (1M) | 1.94 | 0.47 |
Payoff Ratio | 0.69 | 0.68 |
Profit Factor | 1.15 | 1.1 |
Common Sense Ratio | 1.32 | 1.12 |
CPC Index | 0.45 | 0.42 |
Tail Ratio | 1.15 | 1.02 |
Outlier Win Ratio | 6.47 | 3.05 |
Outlier Loss Ratio | 6.52 | 3.31 |
MTD | -0.17% | 1.87% |
3M | 1.97% | 7.77% |
6M | 1.72% | 10.97% |
YTD | 2.04% | 7.71% |
1Y | 4.13% | 45.84% |
3Y (ann.) | 5.32% | 5.06% |
5Y (ann.) | 5.35% | 5.99% |
10Y (ann.) | 5.35% | 5.99% |
All-time (ann.) | 5.35% | 5.99% |
Best Day | 25.56% | 20.04% |
Worst Day | -24.07% | -33.28% |
Best Month | 5.46% | 15.56% |
Worst Month | -9.42% | -30.02% |
Best Year | 6.54% | 53.84% |
Worst Year | 2.04% | -37.26% |
Avg. Drawdown | -1.09% | -3.18% |
Avg. Drawdown Days | 13 | 42 |
Recovery Factor | 0.57 | 0.36 |
Ulcer Index | 0.04 | 0.29 |
Serenity Index | -30.16 | -0.92 |
Avg. Up Month | 1.17% | 4.34% |
Avg. Down Month | -2.8% | -9.3% |
Win Days | 56.58% | 56.56% |
Win Month | 72.22% | 66.67% |
Win Quarter | 69.23% | 69.23% |
Win Year | 100.0% | 75.0% |
Beta | 0.47 | - |
Alpha | 0.03 | - |
Correlation | 63.47% | - |
Treynor Ratio | -1459.15% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 14.66 | 2.67 | 0.18 | - |
2022 | -37.26 | 4.85 | -0.13 | + |
2023 | 53.84 | 6.54 | 0.12 | - |
2024 | 7.71 | 2.04 | 0.26 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-09-15 | -29.99 | 253 |
2022-09-19 | 2022-11-18 | -6.94 | 60 |
2023-08-11 | 2024-03-05 | -4.78 | 207 |
2021-10-21 | 2022-01-03 | -3.77 | 74 |
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 |
2024-03-11 | 2024-03-28 | -1.37 | 17 |
2021-05-11 | 2021-05-13 | -1.14 | 2 |