Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 47.0% | 97.0% |
Cumulative Return | 34.58% | 132.11% |
CAGR﹪ | 5.29% | 15.74% |
Sharpe | -13.59 | -9.54 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -13.16 | -9.24 |
Sortino | -10.82 | -8.88 |
Smart Sortino | -10.48 | -8.6 |
Sortino/√2 | -7.65 | -6.28 |
Smart Sortino/√2 | -7.41 | -6.08 |
Omega | 0.09 | 0.09 |
Max Drawdown | -32.48% | -33.97% |
Longest DD Days | 1142 | 720 |
Volatility (ann.) | 14.92% | 20.2% |
R^2 | 0.13 | 0.13 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.16 | 0.46 |
Skew | -2.24 | -0.57 |
Kurtosis | 26.19 | 14.03 |
Expected Daily | 0.02% | 0.06% |
Expected Monthly | 0.43% | 1.21% |
Expected Yearly | 4.33% | 12.78% |
Kelly Criterion | 8.95% | 4.29% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.52% | -2.03% |
Expected Shortfall (cVaR) | -1.52% | -2.03% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 6 | 7 |
Gain/Pain Ratio | 0.13 | 0.17 |
Gain/Pain (1M) | 0.59 | 0.98 |
Payoff Ratio | 0.86 | 0.88 |
Profit Factor | 1.13 | 1.17 |
Common Sense Ratio | 1.22 | 1.13 |
CPC Index | 0.56 | 0.57 |
Tail Ratio | 1.08 | 0.97 |
Outlier Win Ratio | 10.39 | 3.55 |
Outlier Loss Ratio | 3.34 | 3.74 |
MTD | 0.0% | 1.34% |
3M | 0.0% | 2.83% |
6M | 0.0% | 13.86% |
YTD | 0.0% | 4.4% |
1Y | 0.0% | 25.33% |
3Y (ann.) | 0.0% | 15.2% |
5Y (ann.) | 8.69% | 19.47% |
10Y (ann.) | 5.29% | 15.74% |
All-time (ann.) | 5.29% | 15.74% |
Best Day | 5.18% | 9.37% |
Worst Day | -10.18% | -12.05% |
Best Month | 11.85% | 13.01% |
Worst Month | -16.68% | -12.53% |
Best Year | 27.39% | 27.11% |
Worst Year | -22.25% | -20.16% |
Avg. Drawdown | -2.04% | -1.8% |
Avg. Drawdown Days | 27 | 17 |
Recovery Factor | 1.06 | 3.89 |
Ulcer Index | 0.17 | 0.09 |
Serenity Index | -1.22 | -4.25 |
Avg. Up Month | 4.45% | 4.5% |
Avg. Down Month | -6.21% | -4.66% |
Win Days | 58.02% | 55.07% |
Win Month | 67.65% | 65.71% |
Win Quarter | 75.0% | 79.17% |
Win Year | 75.0% | 85.71% |
Beta | 0.27 | - |
Alpha | 0.02 | - |
Correlation | 35.92% | - |
Treynor Ratio | -2508.06% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 14.84 | 14.35 | 0.97 | - |
2020 | 20.64 | 18.82 | 0.91 | - |
2021 | 26.68 | 27.39 | 1.03 | + |
2022 | -20.16 | -22.25 | 1.10 | - |
2023 | 27.11 | 0.00 | 0.00 | - |
2024 | 24.83 | 0.00 | 0.00 | - |
2025 | 4.40 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-21 | 2020-08-07 | -32.48 | 168 |
2021-12-30 | 2025-02-14 | -22.61 | 1142 |
2020-09-03 | 2020-10-12 | -8.34 | 39 |
2020-10-13 | 2020-11-09 | -7.92 | 27 |
2019-07-30 | 2019-10-28 | -6.36 | 90 |
2021-09-07 | 2021-10-22 | -5.37 | 45 |
2021-02-16 | 2021-04-01 | -5.21 | 44 |
2021-11-23 | 2021-12-27 | -4.66 | 34 |
2019-05-20 | 2019-06-10 | -3.81 | 21 |
2021-04-30 | 2021-05-28 | -3.80 | 28 |