Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 31.57% | 31.62% |
CAGR﹪ | 9.05% | 9.06% |
Sharpe | -8.92 | -7.11 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.53 | -6.79 |
Sortino | -8.23 | -7.16 |
Smart Sortino | -7.87 | -6.85 |
Sortino/√2 | -5.82 | -5.06 |
Smart Sortino/√2 | -5.56 | -4.84 |
Omega | 0.18 | 0.18 |
Max Drawdown | -48.48% | -48.21% |
Longest DD Days | 681 | 680 |
Volatility (ann.) | 22.13% | 27.56% |
R^2 | 0.44 | 0.44 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.19 | 0.19 |
Skew | -1.7 | -4.26 |
Kurtosis | 11.65 | 110.99 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.71% | 0.71% |
Expected Yearly | 7.1% | 7.11% |
Kelly Criterion | 1.96% | 2.33% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.25% | -2.8% |
Expected Shortfall (cVaR) | -2.25% | -2.8% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 8 | 8 |
Gain/Pain Ratio | 0.1 | 0.12 |
Gain/Pain (1M) | 0.44 | 0.56 |
Payoff Ratio | 0.8 | 0.75 |
Profit Factor | 1.1 | 1.12 |
Common Sense Ratio | 1.05 | 1.07 |
CPC Index | 0.5 | 0.49 |
Tail Ratio | 0.96 | 0.95 |
Outlier Win Ratio | 3.46 | 3.65 |
Outlier Loss Ratio | 4.26 | 4.38 |
MTD | 1.74% | 0.89% |
3M | 6.43% | 6.4% |
6M | 8.22% | 7.93% |
YTD | 6.94% | 6.72% |
1Y | 46.77% | 46.42% |
3Y (ann.) | 6.27% | 6.17% |
5Y (ann.) | 9.05% | 9.06% |
10Y (ann.) | 9.05% | 9.06% |
All-time (ann.) | 9.05% | 9.06% |
Best Day | 5.61% | 19.38% |
Worst Day | -10.29% | -28.26% |
Best Month | 15.57% | 16.77% |
Worst Month | -24.16% | -21.61% |
Best Year | 55.98% | 56.9% |
Worst Year | -32.19% | -32.47% |
Avg. Drawdown | -3.25% | -3.1% |
Avg. Drawdown Days | 32 | 31 |
Recovery Factor | 0.65 | 0.66 |
Ulcer Index | 0.22 | 0.22 |
Serenity Index | -1.0 | -1.27 |
Avg. Up Month | 4.66% | 4.53% |
Avg. Down Month | -6.03% | -5.78% |
Win Days | 56.46% | 58.0% |
Win Month | 66.67% | 64.1% |
Win Quarter | 61.54% | 61.54% |
Win Year | 75.0% | 75.0% |
Beta | 0.53 | - |
Alpha | 0.04 | - |
Correlation | 66.51% | - |
Treynor Ratio | -1251.45% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 16.40 | 16.31 | 0.99 | - |
2022 | -32.47 | -32.19 | 0.99 | + |
2023 | 56.90 | 55.98 | 0.98 | - |
2024 | 6.72 | 6.94 | 1.03 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-20 | 2023-09-01 | -48.48 | 681 |
2023-10-26 | 2024-01-31 | -9.85 | 97 |
2023-09-07 | 2023-10-17 | -7.57 | 40 |
2021-06-15 | 2021-08-05 | -4.77 | 51 |
2024-02-16 | 2024-03-07 | -4.02 | 20 |
2021-04-27 | 2021-05-07 | -3.47 | 10 |
2021-09-14 | 2021-10-07 | -3.38 | 23 |
2024-03-12 | 2024-03-28 | -2.70 | 16 |
2021-03-16 | 2021-03-31 | -2.60 | 15 |
2021-01-28 | 2021-02-04 | -2.29 | 7 |