Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 100.0% |
Cumulative Return | 14.96% | 15.77% |
CAGR﹪ | 8.72% | 9.17% |
Sharpe | -34.07 | -40.38 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -28.16 | -33.38 |
Sortino | -14.46 | -14.85 |
Smart Sortino | -11.95 | -12.28 |
Sortino/√2 | -10.22 | -10.5 |
Smart Sortino/√2 | -8.45 | -8.68 |
Omega | 0.01 | 0.01 |
Max Drawdown | -6.01% | -6.1% |
Longest DD Days | 183 | 183 |
Volatility (ann.) | 5.88% | 4.95% |
R^2 | 0.62 | 0.62 |
Information Ratio | -0.01 | -0.01 |
Calmar | 1.45 | 1.5 |
Skew | -1.74 | -4.2 |
Kurtosis | 23.76 | 74.83 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.67% | 0.7% |
Expected Yearly | 4.76% | 5.0% |
Kelly Criterion | 14.93% | 20.71% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.58% | -0.48% |
Expected Shortfall (cVaR) | -0.58% | -0.48% |
Max Consecutive Wins | 11 | 15 |
Max Consecutive Losses | 4 | 12 |
Gain/Pain Ratio | 0.37 | 0.66 |
Gain/Pain (1M) | 2.87 | 2.75 |
Payoff Ratio | 0.77 | 0.86 |
Profit Factor | 1.37 | 1.66 |
Common Sense Ratio | 1.36 | 2.39 |
CPC Index | 0.67 | 0.9 |
Tail Ratio | 0.99 | 1.44 |
Outlier Win Ratio | 4.22 | 5.77 |
Outlier Loss Ratio | 3.42 | 6.01 |
MTD | -0.05% | 0.73% |
3M | 1.64% | 2.46% |
6M | 4.97% | 4.98% |
YTD | 2.54% | 3.38% |
1Y | 4.54% | 5.34% |
3Y (ann.) | 8.72% | 9.17% |
5Y (ann.) | 8.72% | 9.17% |
10Y (ann.) | 8.72% | 9.17% |
All-time (ann.) | 8.72% | 9.17% |
Best Day | 2.16% | 2.19% |
Worst Day | -3.42% | -3.97% |
Best Month | 5.89% | 5.87% |
Worst Month | -2.81% | -2.9% |
Best Year | 6.05% | 5.94% |
Worst Year | 2.54% | 3.38% |
Avg. Drawdown | -0.44% | -0.34% |
Avg. Drawdown Days | 8 | 9 |
Recovery Factor | 2.49 | 2.58 |
Ulcer Index | 0.01 | 0.01 |
Serenity Index | -75.37 | -78.33 |
Avg. Up Month | 1.21% | 1.23% |
Avg. Down Month | -1.26% | -1.38% |
Win Days | 63.03% | 63.44% |
Win Month | 76.19% | 80.95% |
Win Quarter | 62.5% | 75.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.93 | - |
Alpha | 0.0 | - |
Correlation | 78.44% | - |
Treynor Ratio | -735.47% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 5.94 | 6.05 | 1.02 | + |
2023 | 5.70 | 5.72 | 1.00 | + |
2024 | 3.38 | 2.54 | 0.75 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-09-19 | 2022-10-21 | -6.01 | 32 |
2023-08-08 | 2024-02-07 | -3.76 | 183 |
2024-03-12 | 2024-04-03 | -1.18 | 22 |
2023-06-28 | 2023-07-26 | -0.85 | 28 |
2022-11-21 | 2022-11-22 | -0.77 | 1 |
2024-04-09 | 2024-04-16 | -0.71 | 7 |
2023-01-17 | 2023-01-19 | -0.67 | 2 |
2024-04-23 | 2024-04-26 | -0.67 | 3 |
2024-02-21 | 2024-02-27 | -0.51 | 6 |
2023-02-08 | 2023-02-22 | -0.46 | 14 |