Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 80.69% | 63.52% |
CAGR﹪ | 32.52% | 26.37% |
Sharpe | -7.43 | -9.75 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.98 | -9.17 |
Sortino | -7.43 | -8.94 |
Smart Sortino | -6.98 | -8.4 |
Sortino/√2 | -5.25 | -6.32 |
Smart Sortino/√2 | -4.94 | -5.94 |
Omega | 0.27 | 0.27 |
Max Drawdown | -19.17% | -17.88% |
Longest DD Days | 81 | 104 |
Volatility (ann.) | 23.94% | 18.84% |
R^2 | 0.76 | 0.76 |
Information Ratio | 0.03 | 0.03 |
Calmar | 1.7 | 1.47 |
Skew | -0.5 | -0.64 |
Kurtosis | 5.22 | 7.45 |
Expected Daily | 0.11% | 0.09% |
Expected Monthly | 2.3% | 1.91% |
Expected Yearly | 21.8% | 17.81% |
Kelly Criterion | 11.49% | 8.87% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.36% | -1.85% |
Expected Shortfall (cVaR) | -2.36% | -1.85% |
Max Consecutive Wins | 9 | 10 |
Max Consecutive Losses | 8 | 7 |
Gain/Pain Ratio | 0.25 | 0.27 |
Gain/Pain (1M) | 1.83 | 2.09 |
Payoff Ratio | 0.96 | 0.98 |
Profit Factor | 1.25 | 1.27 |
Common Sense Ratio | 1.52 | 1.52 |
CPC Index | 0.68 | 0.68 |
Tail Ratio | 1.22 | 1.2 |
Outlier Win Ratio | 3.12 | 3.95 |
Outlier Loss Ratio | 2.95 | 4.06 |
MTD | -11.15% | -5.39% |
3M | -15.35% | -7.24% |
6M | -9.68% | -2.07% |
YTD | -16.45% | -8.28% |
1Y | 5.7% | 12.49% |
3Y (ann.) | 32.52% | 26.37% |
5Y (ann.) | 32.52% | 26.37% |
10Y (ann.) | 32.52% | 26.37% |
All-time (ann.) | 32.52% | 26.37% |
Best Day | 8.3% | 6.08% |
Worst Day | -8.84% | -8.57% |
Best Month | 12.9% | 10.84% |
Worst Month | -11.15% | -6.23% |
Best Year | 65.76% | 40.18% |
Worst Year | -16.45% | -8.28% |
Avg. Drawdown | -3.62% | -2.32% |
Avg. Drawdown Days | 16 | 15 |
Recovery Factor | 4.21 | 3.55 |
Ulcer Index | 0.05 | 0.04 |
Serenity Index | -22.98 | -31.51 |
Avg. Up Month | 5.47% | 4.27% |
Avg. Down Month | -5.9% | -4.1% |
Win Days | 56.63% | 54.92% |
Win Month | 73.08% | 73.08% |
Win Quarter | 88.89% | 77.78% |
Win Year | 66.67% | 66.67% |
Beta | 1.11 | - |
Alpha | 0.03 | - |
Correlation | 87.01% | - |
Treynor Ratio | -559.99% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 40.18 | 65.76 | 1.64 | + |
2021 | 27.18 | 30.47 | 1.12 | + |
2022 | -8.28 | -16.45 | 1.99 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-02-25 | -19.17 | 51 |
2020-02-21 | 2020-04-16 | -15.14 | 55 |
2020-09-03 | 2020-10-13 | -11.51 | 40 |
2021-04-12 | 2021-07-02 | -9.94 | 81 |
2021-08-31 | 2021-11-08 | -8.45 | 69 |
2021-02-16 | 2021-04-01 | -7.68 | 44 |
2021-11-23 | 2021-12-29 | -6.84 | 36 |
2020-10-15 | 2020-11-30 | -6.39 | 46 |
2020-12-23 | 2021-01-21 | -4.76 | 29 |
2020-12-02 | 2020-12-21 | -4.56 | 19 |