Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 112.37% | 141.14% |
CAGR﹪ | 10.28% | 12.12% |
Sharpe | 0.36 | 0.71 |
Prob. Sharpe Ratio | 97.22% | 97.84% |
Smart Sharpe | 0.33 | 0.65 |
Sortino | 3.32 | 1.15 |
Smart Sortino | 3.01 | 1.04 |
Sortino/√2 | 2.35 | 0.81 |
Smart Sortino/√2 | 2.13 | 0.73 |
Omega | 2.27 | 2.27 |
Max Drawdown | -90.76% | -32.59% |
Longest DD Days | 1300 | 2225 |
Volatility (ann.) | 322.76% | 18.59% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.11 | 0.37 |
Skew | 42.86 | 1.33 |
Kurtosis | 1865.81 | 19.47 |
Expected Daily | 0.04% | 0.05% |
Expected Monthly | 0.81% | 0.95% |
Expected Yearly | 8.73% | 10.27% |
Kelly Criterion | 1.2% | 6.72% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -32.98% | -1.87% |
Expected Shortfall (cVaR) | -32.98% | -1.87% |
Max Consecutive Wins | 11 | 9 |
Max Consecutive Losses | 9 | 9 |
Gain/Pain Ratio | 1.27 | 0.15 |
Gain/Pain (1M) | 10.97 | 0.81 |
Payoff Ratio | 0.96 | 1.12 |
Profit Factor | 2.27 | 1.15 |
Common Sense Ratio | 2.53 | 1.32 |
CPC Index | 1.13 | 0.66 |
Tail Ratio | 1.11 | 1.14 |
Outlier Win Ratio | 2.17 | 4.16 |
Outlier Loss Ratio | 3.37 | 3.8 |
MTD | -23.26% | 7.35% |
3M | -25.32% | 10.68% |
6M | -25.19% | 12.57% |
YTD | -24.55% | 11.14% |
1Y | -24.22% | 12.86% |
3Y (ann.) | -0.97% | 8.91% |
5Y (ann.) | 3.47% | 7.98% |
10Y (ann.) | 10.28% | 12.12% |
All-time (ann.) | 10.28% | 12.12% |
Best Day | 884.07% | 12.8% |
Worst Day | -89.97% | -10.78% |
Best Month | 19.06% | 23.05% |
Worst Month | -23.26% | -11.19% |
Best Year | 50.32% | 62.7% |
Worst Year | -24.55% | -16.74% |
Avg. Drawdown | -4.97% | -4.55% |
Avg. Drawdown Days | 55 | 93 |
Recovery Factor | 1.24 | 4.33 |
Ulcer Index | 0.11 | 0.19 |
Serenity Index | 10.52 | 0.27 |
Avg. Up Month | 3.93% | 4.56% |
Avg. Down Month | -2.46% | -3.57% |
Win Days | 51.53% | 50.68% |
Win Month | 60.22% | 55.91% |
Win Quarter | 50.0% | 50.0% |
Win Year | 55.56% | 66.67% |
Beta | 0.35 | - |
Alpha | 1.11 | - |
Correlation | 2.03% | - |
Treynor Ratio | 318.82% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 62.70 | 38.58 | 0.62 | - |
2015 | 31.41 | 50.32 | 1.60 | + |
2016 | -16.74 | -10.83 | 0.65 | + |
2017 | -5.94 | 2.88 | -0.48 | + |
2018 | 21.15 | 20.82 | 0.98 | - |
2019 | -11.22 | -2.20 | 0.20 | + |
2020 | 20.05 | 25.78 | 1.29 | + |
2021 | 0.36 | -0.90 | -2.52 | - |
2022 | 11.14 | -24.55 | -2.20 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2022-02-25 | -90.76 | 479 |
2016-01-22 | 2019-08-14 | -24.46 | 1300 |
2015-02-02 | 2015-07-28 | -19.60 | 176 |
2014-12-17 | 2015-01-29 | -18.37 | 43 |
2015-08-25 | 2015-12-04 | -9.41 | 101 |
2020-04-22 | 2020-07-31 | -7.66 | 100 |
2020-03-13 | 2020-03-30 | -7.65 | 17 |
2019-09-04 | 2020-02-27 | -6.78 | 176 |
2014-11-18 | 2014-11-28 | -5.26 | 10 |
2014-12-03 | 2014-12-15 | -4.70 | 12 |