Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 98.0% |
Cumulative Return | 10.62% | 2.93% |
CAGR﹪ | 69.28% | 16.22% |
Sharpe | 2.48 | 63.73 |
Prob. Sharpe Ratio | 84.87% | 100.0% |
Smart Sharpe | 1.89 | 48.57 |
Sortino | 3.87 | - |
Smart Sortino | 2.95 | - |
Sortino/√2 | 2.74 | - |
Smart Sortino/√2 | 2.09 | - |
Omega | 1.54 | 1.54 |
Max Drawdown | -4.8% | - |
Longest DD Days | - | - |
Volatility (ann.) | 22.35% | 0.24% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.11 | 0.11 |
Calmar | 14.42 | - |
Skew | -0.46 | -0.99 |
Kurtosis | 2.7 | 4.16 |
Expected Daily | 0.21% | 0.06% |
Expected Monthly | 3.42% | 0.97% |
Expected Yearly | 5.18% | 1.45% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.1% | -0.04% |
Expected Shortfall (cVaR) | -2.1% | -0.04% |
Max Consecutive Wins | 5 | 47 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.54 | - |
Gain/Pain (1M) | - | - |
Payoff Ratio | - | - |
Profit Factor | 1.54 | - |
Common Sense Ratio | 2.92 | - |
CPC Index | - | - |
Tail Ratio | 1.9 | 1.66 |
Outlier Win Ratio | 1.4 | 27.06 |
Outlier Loss Ratio | 1.89 | - |
MTD | 2.46% | 1.17% |
3M | 10.62% | 2.93% |
6M | 10.62% | 2.93% |
YTD | 7.21% | 2.17% |
1Y | 10.62% | 2.93% |
3Y (ann.) | 69.28% | 16.22% |
5Y (ann.) | 69.28% | 16.22% |
10Y (ann.) | 69.28% | 16.22% |
All-time (ann.) | 69.28% | 16.22% |
Best Day | 3.18% | 0.08% |
Worst Day | -4.8% | 0.0% |
Best Month | 4.64% | 1.17% |
Worst Month | 2.46% | 0.74% |
Best Year | 7.21% | 2.17% |
Worst Year | 3.19% | 0.74% |
Avg. Drawdown | -1.58% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 2.21 | - |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 2.82 | - |
Avg. Up Month | 3.43% | 0.97% |
Avg. Down Month | - | - |
Win Days | 53.19% | 100.0% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 2.66 | - |
Alpha | 0.15 | - |
Correlation | 2.82% | - |
Treynor Ratio | 4.0% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.74 | 3.19 | 4.32 | + |
2022 | 2.17 | 7.21 | 3.32 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-27 | 2022-02-16 | -4.80 | 20 |
2022-01-14 | 2022-01-26 | -2.27 | 12 |
2022-01-06 | 2022-01-12 | -1.96 | 6 |
2021-12-20 | 2021-12-22 | -1.79 | 2 |
2022-02-22 | 2022-02-24 | -1.33 | 2 |
2022-02-25 | 2022-02-25 | -1.17 | 0 |
2021-12-23 | 2021-12-24 | -0.40 | 1 |
2022-02-17 | 2022-02-21 | -0.36 | 4 |
2022-01-03 | 2022-01-04 | -0.17 | 1 |