Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 193.37% | 141.31% |
CAGR﹪ | 15.02% | 12.13% |
Sharpe | 0.37 | 0.72 |
Prob. Sharpe Ratio | 98.08% | 97.82% |
Smart Sharpe | 0.34 | 0.65 |
Sortino | 3.41 | 1.13 |
Smart Sortino | 3.08 | 1.02 |
Sortino/√2 | 2.41 | 0.8 |
Smart Sortino/√2 | 2.18 | 0.72 |
Omega | 2.04 | 2.04 |
Max Drawdown | -91.02% | -32.59% |
Longest DD Days | 1299 | 2225 |
Volatility (ann.) | 323.9% | 18.34% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.16 | 0.37 |
Skew | 43.0 | 0.86 |
Kurtosis | 1880.48 | 14.53 |
Expected Daily | 0.06% | 0.05% |
Expected Monthly | 1.16% | 0.95% |
Expected Yearly | 12.7% | 10.28% |
Kelly Criterion | 1.66% | 6.72% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -33.08% | -1.85% |
Expected Shortfall (cVaR) | -33.08% | -1.85% |
Max Consecutive Wins | 12 | 9 |
Max Consecutive Losses | 10 | 9 |
Gain/Pain Ratio | 1.04 | 0.15 |
Gain/Pain (1M) | 6.02 | 0.81 |
Payoff Ratio | 0.99 | 1.11 |
Profit Factor | 2.04 | 1.15 |
Common Sense Ratio | 2.43 | 1.32 |
CPC Index | 1.03 | 0.65 |
Tail Ratio | 1.19 | 1.15 |
Outlier Win Ratio | 2.13 | 4.87 |
Outlier Loss Ratio | 3.19 | 4.35 |
MTD | 0.43% | 7.35% |
3M | 4.33% | 10.68% |
6M | 4.85% | 12.57% |
YTD | 3.01% | 11.14% |
1Y | 4.89% | 12.86% |
3Y (ann.) | 17.08% | 8.91% |
5Y (ann.) | 13.48% | 7.98% |
10Y (ann.) | 15.02% | 12.13% |
All-time (ann.) | 15.02% | 12.13% |
Best Day | 891.28% | 10.77% |
Worst Day | -90.07% | -10.78% |
Best Month | 32.81% | 23.05% |
Worst Month | -15.56% | -11.19% |
Best Year | 50.47% | 62.81% |
Worst Year | -10.29% | -16.74% |
Avg. Drawdown | -8.85% | -4.44% |
Avg. Drawdown Days | 90 | 90 |
Recovery Factor | 2.12 | 4.34 |
Ulcer Index | 0.18 | 0.19 |
Serenity Index | 7.12 | 0.26 |
Avg. Up Month | 5.92% | 5.13% |
Avg. Down Month | -4.57% | -3.48% |
Win Days | 51.06% | 50.83% |
Win Month | 58.7% | 55.91% |
Win Quarter | 65.62% | 50.0% |
Win Year | 77.78% | 66.67% |
Beta | 0.44 | - |
Alpha | 1.15 | - |
Correlation | 2.47% | - |
Treynor Ratio | 443.59% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 62.81 | 50.47 | 0.80 | - |
2015 | 31.41 | 16.10 | 0.51 | - |
2016 | -16.74 | -10.29 | 0.61 | + |
2017 | -5.94 | 5.38 | -0.91 | + |
2018 | 21.15 | 18.16 | 0.86 | - |
2019 | -11.22 | 3.63 | -0.32 | + |
2020 | 20.05 | 47.34 | 2.36 | + |
2021 | 0.36 | -4.43 | -12.43 | - |
2022 | 11.14 | 3.01 | 0.27 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2022-02-25 | -91.02 | 479 |
2015-02-02 | 2016-01-20 | -33.46 | 352 |
2016-02-12 | 2019-09-03 | -31.94 | 1299 |
2014-12-17 | 2015-01-27 | -26.44 | 41 |
2020-03-31 | 2020-07-22 | -12.07 | 113 |
2019-09-04 | 2020-02-21 | -11.53 | 170 |
2016-01-22 | 2016-02-08 | -7.92 | 17 |
2020-03-12 | 2020-03-23 | -6.80 | 11 |
2020-08-07 | 2020-11-02 | -6.57 | 87 |
2014-10-30 | 2014-11-07 | -4.99 | 8 |