Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 405.93% | 141.43% |
CAGR﹪ | 23.38% | 12.1% |
Sharpe | 1.17 | 0.72 |
Prob. Sharpe Ratio | 99.95% | 97.81% |
Smart Sharpe | 1.17 | 0.71 |
Sortino | 1.78 | 1.13 |
Smart Sortino | 1.78 | 1.12 |
Sortino/√2 | 1.26 | 0.8 |
Smart Sortino/√2 | 1.26 | 0.8 |
Omega | 1.25 | 1.25 |
Max Drawdown | -27.3% | -32.59% |
Longest DD Days | 679 | 2225 |
Volatility (ann.) | 19.76% | 18.42% |
R^2 | 0.23 | 0.23 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.86 | 0.37 |
Skew | 0.9 | 0.87 |
Kurtosis | 22.14 | 14.4 |
Expected Daily | 0.08% | 0.05% |
Expected Monthly | 1.76% | 0.95% |
Expected Yearly | 19.74% | 10.29% |
Kelly Criterion | 14.01% | 3.84% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.96% | -1.86% |
Expected Shortfall (cVaR) | -1.96% | -1.86% |
Max Consecutive Wins | 10 | 9 |
Max Consecutive Losses | 7 | 9 |
Gain/Pain Ratio | 0.25 | 0.15 |
Gain/Pain (1M) | 1.53 | 0.81 |
Payoff Ratio | 1.1 | 1.05 |
Profit Factor | 1.25 | 1.15 |
Common Sense Ratio | 1.37 | 1.33 |
CPC Index | 0.75 | 0.61 |
Tail Ratio | 1.09 | 1.16 |
Outlier Win Ratio | 4.29 | 4.48 |
Outlier Loss Ratio | 3.55 | 4.15 |
MTD | -5.39% | 7.35% |
3M | -7.24% | 10.68% |
6M | -2.07% | 12.57% |
YTD | -8.28% | 11.14% |
1Y | 12.49% | 12.86% |
3Y (ann.) | 23.2% | 8.91% |
5Y (ann.) | 20.78% | 7.98% |
10Y (ann.) | 23.38% | 12.1% |
All-time (ann.) | 23.38% | 12.1% |
Best Day | 16.81% | 10.77% |
Worst Day | -8.87% | -10.78% |
Best Month | 22.85% | 23.05% |
Worst Month | -8.88% | -11.19% |
Best Year | 70.59% | 62.89% |
Worst Year | -9.36% | -16.74% |
Avg. Drawdown | -2.92% | -4.6% |
Avg. Drawdown Days | 31 | 93 |
Recovery Factor | 14.87 | 4.34 |
Ulcer Index | 0.08 | 0.19 |
Serenity Index | 3.92 | 0.27 |
Avg. Up Month | 5.8% | 4.9% |
Avg. Down Month | -3.57% | -4.36% |
Win Days | 55.04% | 50.83% |
Win Month | 66.67% | 55.91% |
Win Quarter | 68.75% | 50.0% |
Win Year | 77.78% | 66.67% |
Beta | 0.51 | - |
Alpha | 0.16 | - |
Correlation | 47.86% | - |
Treynor Ratio | 790.46% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 62.89 | 70.59 | 1.12 | + |
2015 | 31.41 | 31.59 | 1.01 | + |
2016 | -16.74 | -9.36 | 0.56 | + |
2017 | -5.94 | 13.62 | -2.29 | + |
2018 | 21.15 | 12.83 | 0.61 | - |
2019 | -11.22 | 15.43 | -1.38 | + |
2020 | 20.05 | 44.05 | 2.20 | + |
2021 | 0.36 | 27.18 | 76.32 | + |
2022 | 11.14 | -8.28 | -0.74 | - |
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 |