Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 60.4% | 61.22% |
CAGR﹪ | 33.24% | 33.65% |
Sharpe | -9.46 | -10.31 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.13 | -9.94 |
Sortino | -8.67 | -9.14 |
Smart Sortino | -8.36 | -8.82 |
Sortino/√2 | -6.13 | -6.47 |
Smart Sortino/√2 | -5.91 | -6.24 |
Omega | 0.17 | 0.17 |
Max Drawdown | -22.86% | -22.72% |
Longest DD Days | 195 | 195 |
Volatility (ann.) | 18.87% | 17.32% |
R^2 | 0.81 | 0.81 |
Information Ratio | -0.0 | -0.0 |
Calmar | 1.45 | 1.48 |
Skew | -1.07 | -1.14 |
Kurtosis | 7.31 | 7.78 |
Expected Daily | 0.11% | 0.11% |
Expected Monthly | 2.39% | 2.42% |
Expected Yearly | 17.06% | 17.26% |
Kelly Criterion | 13.18% | 14.55% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.84% | -1.67% |
Expected Shortfall (cVaR) | -1.84% | -1.67% |
Max Consecutive Wins | 10 | 10 |
Max Consecutive Losses | 4 | 5 |
Gain/Pain Ratio | 0.34 | 0.39 |
Gain/Pain (1M) | 2.11 | 1.93 |
Payoff Ratio | 0.9 | 0.98 |
Profit Factor | 1.34 | 1.39 |
Common Sense Ratio | 1.52 | 1.55 |
CPC Index | 0.71 | 0.78 |
Tail Ratio | 1.13 | 1.12 |
Outlier Win Ratio | 3.75 | 3.99 |
Outlier Loss Ratio | 4.25 | 5.0 |
MTD | 3.14% | 3.38% |
3M | 8.07% | 8.24% |
6M | 6.73% | 7.15% |
YTD | 7.84% | 8.11% |
1Y | 33.57% | 33.82% |
3Y (ann.) | 33.24% | 33.65% |
5Y (ann.) | 33.24% | 33.65% |
10Y (ann.) | 33.24% | 33.65% |
All-time (ann.) | 33.24% | 33.65% |
Best Day | 4.19% | 4.5% |
Worst Day | -7.64% | -6.45% |
Best Month | 13.41% | 15.19% |
Worst Month | -16.36% | -18.13% |
Best Year | 37.09% | 37.21% |
Worst Year | 7.84% | 8.11% |
Avg. Drawdown | -2.81% | -2.56% |
Avg. Drawdown Days | 25 | 24 |
Recovery Factor | 2.64 | 2.69 |
Ulcer Index | 0.06 | 0.06 |
Serenity Index | -10.78 | -9.84 |
Avg. Up Month | 4.69% | 4.87% |
Avg. Down Month | -5.84% | -6.24% |
Win Days | 58.98% | 57.79% |
Win Month | 80.0% | 80.0% |
Win Quarter | 71.43% | 71.43% |
Win Year | 100.0% | 100.0% |
Beta | 0.98 | - |
Alpha | 0.01 | - |
Correlation | 89.89% | - |
Treynor Ratio | -653.24% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 8.69 | 8.49 | 0.98 | - |
2023 | 37.21 | 37.09 | 1.00 | - |
2024 | 8.11 | 7.84 | 0.97 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-09-06 | 2023-03-20 | -22.86 | 195 |
2023-09-06 | 2024-03-13 | -11.69 | 189 |
2023-04-25 | 2023-05-29 | -5.21 | 34 |
2023-08-04 | 2023-08-31 | -4.16 | 27 |
2023-06-22 | 2023-07-10 | -3.25 | 18 |
2024-03-14 | 2024-03-28 | -1.96 | 14 |
2023-07-19 | 2023-07-25 | -1.84 | 6 |
2023-04-19 | 2023-04-20 | -1.26 | 1 |
2023-06-05 | 2023-06-13 | -1.24 | 8 |
2023-03-31 | 2023-04-03 | -0.95 | 3 |