Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 37.32% | 11.25% |
CAGR﹪ | 23.71% | 7.41% |
Sharpe | 1.65 | 35.87 |
Prob. Sharpe Ratio | 97.95% | - |
Smart Sharpe | 1.58 | 34.43 |
Sortino | 2.63 | - |
Smart Sortino | 2.52 | - |
Sortino/√2 | 1.86 | - |
Smart Sortino/√2 | 1.78 | - |
Omega | 1.31 | 1.31 |
Max Drawdown | -11.17% | - |
Longest DD Days | - | - |
Volatility (ann.) | 13.54% | 0.2% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.07 | 0.07 |
Calmar | 2.12 | - |
Skew | 0.39 | 0.03 |
Kurtosis | 1.35 | -1.16 |
Expected Daily | 0.08% | 0.03% |
Expected Monthly | 1.68% | 0.56% |
Expected Yearly | 11.15% | 3.62% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.31% | -0.01% |
Expected Shortfall (cVaR) | -1.31% | -0.01% |
Max Consecutive Wins | 8 | 373 |
Max Consecutive Losses | 9 | 0 |
Gain/Pain Ratio | 0.31 | - |
Gain/Pain (1M) | 1.4 | - |
Payoff Ratio | - | - |
Profit Factor | 1.31 | - |
Common Sense Ratio | 1.4 | - |
CPC Index | - | - |
Tail Ratio | 1.07 | 6.14 |
Outlier Win Ratio | 1.94 | 47.01 |
Outlier Loss Ratio | 1.31 | - |
MTD | 4.52% | 0.65% |
3M | 6.15% | 2.31% |
6M | 14.4% | 5.09% |
YTD | 5.45% | 2.2% |
1Y | 18.35% | 8.06% |
3Y (ann.) | 23.71% | 7.41% |
5Y (ann.) | 23.71% | 7.41% |
10Y (ann.) | 23.71% | 7.41% |
All-time (ann.) | 23.71% | 7.41% |
Best Day | 3.58% | 0.05% |
Worst Day | -2.56% | 0.0% |
Best Month | 10.64% | 1.11% |
Worst Month | -7.06% | 0.0% |
Best Year | 17.65% | 7.42% |
Worst Year | 5.45% | 1.33% |
Avg. Drawdown | -1.84% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 3.34 | - |
Ulcer Index | 0.04 | 0.0 |
Serenity Index | 1.26 | - |
Avg. Up Month | 5.77% | 0.59% |
Avg. Down Month | - | - |
Win Days | 54.16% | 100.0% |
Win Month | 55.56% | 100.0% |
Win Quarter | 66.67% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -0.1 | - |
Alpha | 0.23 | - |
Correlation | -0.15% | - |
Treynor Ratio | -374.35% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 1.33 | 17.65 | 13.22 | + |
2023 | 7.42 | 10.68 | 1.44 | + |
2024 | 2.20 | 5.45 | 2.48 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-01 | 2023-12-14 | -11.17 | 135 |
2023-02-02 | 2023-07-21 | -8.79 | 169 |
2022-10-05 | 2022-10-21 | -4.38 | 16 |
2022-12-05 | 2023-01-06 | -4.02 | 32 |
2024-01-09 | 2024-02-22 | -3.09 | 44 |
2023-01-17 | 2023-01-26 | -1.99 | 9 |
2022-11-02 | 2022-11-04 | -1.88 | 2 |
2022-11-09 | 2022-11-10 | -1.59 | 1 |
2023-12-20 | 2023-12-22 | -1.38 | 2 |
2022-11-28 | 2022-11-30 | -1.12 | 2 |