Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 15.07% | 15.05% |
CAGR﹪ | 6.5% | 6.5% |
Sharpe | 0.39 | 15.76 |
Prob. Sharpe Ratio | 70.1% | 98.89% |
Smart Sharpe | 0.32 | 12.84 |
Sortino | 0.51 | - |
Smart Sortino | 0.41 | - |
Sortino/√2 | 0.36 | - |
Smart Sortino/√2 | 0.29 | - |
Omega | 1.09 | 1.09 |
Max Drawdown | -43.69% | - |
Longest DD Days | - | - |
Volatility (ann.) | 31.74% | 0.45% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.15 | - |
Skew | -2.88 | 21.18 |
Kurtosis | 47.61 | 465.69 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.56% | 0.56% |
Expected Yearly | 4.79% | 4.78% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.24% | -0.02% |
Expected Shortfall (cVaR) | -3.24% | -0.02% |
Max Consecutive Wins | 9 | 501 |
Max Consecutive Losses | 12 | 0 |
Gain/Pain Ratio | 0.09 | - |
Gain/Pain (1M) | 0.34 | - |
Payoff Ratio | - | - |
Profit Factor | 1.09 | - |
Common Sense Ratio | 1.32 | - |
CPC Index | - | - |
Tail Ratio | 1.2 | 1.88 |
Outlier Win Ratio | 2.1 | 78.57 |
Outlier Loss Ratio | 2.02 | - |
MTD | -2.65% | 0.65% |
3M | 5.57% | 2.55% |
6M | 25.76% | 4.58% |
YTD | 8.03% | 3.28% |
1Y | -8.23% | 7.69% |
3Y (ann.) | 6.5% | 6.5% |
5Y (ann.) | 6.5% | 6.5% |
10Y (ann.) | 6.5% | 6.5% |
All-time (ann.) | 6.5% | 6.5% |
Best Day | 12.69% | 0.65% |
Worst Day | -23.86% | 0.0% |
Best Month | 25.97% | 0.71% |
Worst Month | -41.8% | 0.35% |
Best Year | 20.04% | 5.7% |
Worst Year | -11.27% | 3.28% |
Avg. Drawdown | -6.62% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.34 | - |
Ulcer Index | 0.17 | 0.0 |
Serenity Index | 0.06 | - |
Avg. Up Month | 5.75% | 0.57% |
Avg. Down Month | - | - |
Win Days | 53.43% | 100.0% |
Win Month | 68.0% | 100.0% |
Win Quarter | 80.0% | 100.0% |
Win Year | 66.67% | 100.0% |
Beta | -4.54 | - |
Alpha | 0.44 | - |
Correlation | -6.38% | - |
Treynor Ratio | -3.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 5.40 | 20.04 | 3.71 | + |
2022 | 5.70 | -11.27 | -1.98 | - |
2023 | 3.28 | 8.03 | 2.45 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-06-02 | 2023-05-02 | -43.69 | 334 |
2022-01-14 | 2022-02-25 | -10.70 | 42 |
2021-05-11 | 2021-11-16 | -7.15 | 189 |
2021-02-11 | 2021-03-18 | -5.83 | 35 |
2021-11-23 | 2021-12-16 | -5.27 | 23 |
2021-04-13 | 2021-05-10 | -3.43 | 27 |
2022-01-10 | 2022-01-13 | -2.70 | 3 |
2021-12-17 | 2021-12-27 | -1.92 | 10 |
2021-11-17 | 2021-11-22 | -1.59 | 5 |
2021-04-07 | 2021-04-09 | -1.16 | 2 |