Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 81.82% | 82.43% |
CAGR﹪ | 43.77% | 44.07% |
Sharpe | -8.13 | -9.27 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.96 | -9.07 |
Sortino | -7.83 | -8.52 |
Smart Sortino | -7.67 | -8.34 |
Sortino/√2 | -5.54 | -6.03 |
Smart Sortino/√2 | -5.42 | -5.9 |
Omega | 0.22 | 0.22 |
Max Drawdown | -24.3% | -22.42% |
Longest DD Days | 195 | 195 |
Volatility (ann.) | 20.97% | 18.44% |
R^2 | 0.83 | 0.83 |
Information Ratio | 0.0 | 0.0 |
Calmar | 1.8 | 1.97 |
Skew | -1.72 | -1.81 |
Kurtosis | 13.89 | 14.02 |
Expected Daily | 0.14% | 0.14% |
Expected Monthly | 3.03% | 3.05% |
Expected Yearly | 22.05% | 22.19% |
Kelly Criterion | 16.06% | 18.04% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.02% | -1.76% |
Expected Shortfall (cVaR) | -2.02% | -1.76% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.44 | 0.5 |
Gain/Pain (1M) | 3.12 | 2.7 |
Payoff Ratio | 0.85 | 0.93 |
Profit Factor | 1.44 | 1.5 |
Common Sense Ratio | 1.66 | 1.91 |
CPC Index | 0.75 | 0.84 |
Tail Ratio | 1.15 | 1.28 |
Outlier Win Ratio | 4.18 | 4.49 |
Outlier Loss Ratio | 3.98 | 4.79 |
MTD | 2.0% | 1.81% |
3M | 6.98% | 7.51% |
6M | 10.2% | 10.85% |
YTD | 7.09% | 7.46% |
1Y | 43.34% | 43.96% |
3Y (ann.) | 43.77% | 44.07% |
5Y (ann.) | 43.77% | 44.07% |
10Y (ann.) | 43.77% | 44.07% |
All-time (ann.) | 43.77% | 44.07% |
Best Day | 5.1% | 4.28% |
Worst Day | -10.03% | -8.86% |
Best Month | 16.09% | 16.67% |
Worst Month | -16.61% | -17.99% |
Best Year | 52.2% | 52.04% |
Worst Year | 7.09% | 7.46% |
Avg. Drawdown | -2.52% | -2.27% |
Avg. Drawdown Days | 16 | 16 |
Recovery Factor | 3.37 | 3.68 |
Ulcer Index | 0.06 | 0.06 |
Serenity Index | -12.49 | -10.77 |
Avg. Up Month | 5.34% | 5.54% |
Avg. Down Month | -5.11% | -5.66% |
Win Days | 61.37% | 60.53% |
Win Month | 80.0% | 80.0% |
Win Quarter | 85.71% | 85.71% |
Win Year | 100.0% | 100.0% |
Beta | 1.04 | - |
Alpha | -0.01 | - |
Correlation | 91.01% | - |
Treynor Ratio | -597.22% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 11.65 | 11.55 | 0.99 | - |
2023 | 52.04 | 52.20 | 1.00 | + |
2024 | 7.46 | 7.09 | 0.95 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-09-06 | 2023-03-20 | -24.30 | 195 |
2023-09-06 | 2023-10-20 | -8.19 | 44 |
2023-10-26 | 2024-01-31 | -7.64 | 97 |
2023-04-28 | 2023-05-15 | -4.43 | 17 |
2023-08-14 | 2023-08-22 | -3.97 | 8 |
2024-02-16 | 2024-03-01 | -3.46 | 14 |
2023-06-16 | 2023-07-06 | -2.97 | 20 |
2024-03-11 | 2024-03-28 | -2.56 | 17 |
2023-08-04 | 2023-08-10 | -2.32 | 6 |
2023-08-23 | 2023-08-28 | -2.27 | 5 |