Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 406.79% | 81.86% |
CAGR﹪ | 23.4% | 8.06% |
Sharpe | 1.17 | 47.8 |
Prob. Sharpe Ratio | 99.95% | - |
Smart Sharpe | 1.17 | 47.61 |
Sortino | 1.78 | - |
Smart Sortino | 1.78 | - |
Sortino/√2 | 1.26 | - |
Smart Sortino/√2 | 1.26 | - |
Omega | 1.25 | 1.25 |
Max Drawdown | -27.3% | - |
Longest DD Days | - | - |
Volatility (ann.) | 19.76% | 0.16% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.05 | 0.05 |
Calmar | 0.86 | - |
Skew | 0.9 | 1.09 |
Kurtosis | 22.15 | 1.32 |
Expected Daily | 0.08% | 0.03% |
Expected Monthly | 1.76% | 0.65% |
Expected Yearly | 19.76% | 6.87% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.96% | -0.01% |
Expected Shortfall (cVaR) | -1.96% | -0.01% |
Max Consecutive Wins | 10 | 1930 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | 0.25 | - |
Gain/Pain (1M) | 1.53 | - |
Payoff Ratio | - | - |
Profit Factor | 1.25 | - |
Common Sense Ratio | 1.37 | - |
CPC Index | - | - |
Tail Ratio | 1.09 | 3.0 |
Outlier Win Ratio | 2.16 | 57.39 |
Outlier Loss Ratio | 1.83 | - |
MTD | -5.39% | 0.71% |
3M | -7.24% | 2.13% |
6M | -2.07% | 3.86% |
YTD | -8.28% | 1.36% |
1Y | 12.49% | 6.5% |
3Y (ann.) | 23.2% | 6.02% |
5Y (ann.) | 20.78% | 6.56% |
10Y (ann.) | 23.4% | 8.06% |
All-time (ann.) | 23.4% | 8.06% |
Best Day | 16.81% | 0.07% |
Worst Day | -8.87% | 0.0% |
Best Month | 22.85% | 1.28% |
Worst Month | -8.88% | 0.37% |
Best Year | 70.88% | 12.29% |
Worst Year | -9.36% | 1.36% |
Avg. Drawdown | -2.92% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 14.9 | - |
Ulcer Index | 0.08 | 0.0 |
Serenity Index | 3.93 | - |
Avg. Up Month | 4.75% | 0.63% |
Avg. Down Month | - | - |
Win Days | 55.07% | 100.0% |
Win Month | 66.67% | 100.0% |
Win Quarter | 68.75% | 100.0% |
Win Year | 77.78% | 100.0% |
Beta | 1.58 | - |
Alpha | 0.11 | - |
Correlation | 1.31% | - |
Treynor Ratio | 257.53% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 6.09 | 70.88 | 11.64 | + |
2015 | 12.29 | 31.59 | 2.57 | + |
2016 | 9.60 | -9.36 | -0.98 | - |
2017 | 7.87 | 13.62 | 1.73 | + |
2018 | 6.96 | 12.83 | 1.84 | + |
2019 | 7.22 | 15.43 | 2.14 | + |
2020 | 4.97 | 44.05 | 8.86 | + |
2021 | 5.82 | 27.18 | 4.67 | + |
2022 | 1.36 | -8.28 | -6.07 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2014-12-17 | 2015-12-08 | -27.30 | 356 |
2018-09-11 | 2019-11-28 | -20.65 | 443 |
2020-02-21 | 2020-06-04 | -17.88 | 104 |
2016-01-22 | 2017-12-01 | -16.30 | 679 |
2022-01-05 | 2022-02-25 | -10.60 | 51 |
2018-01-30 | 2018-04-10 | -7.35 | 70 |
2020-09-03 | 2020-10-05 | -6.95 | 32 |
2021-08-31 | 2021-11-03 | -6.45 | 64 |
2021-11-23 | 2021-12-29 | -5.77 | 36 |
2021-04-13 | 2021-07-05 | -5.73 | 83 |