Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 38.0% | 100.0% |
Cumulative Return | 3.81% | 75.99% |
CAGR﹪ | 0.69% | 10.98% |
Sharpe | -0.32 | 0.28 |
Prob. Sharpe Ratio | 1.03% | 16.34% |
Smart Sharpe | -0.26 | 0.23 |
Sortino | -0.41 | 0.38 |
Smart Sortino | -0.33 | 0.32 |
Sortino/√2 | -0.29 | 0.27 |
Smart Sortino/√2 | -0.24 | 0.22 |
Omega | 0.91 | 0.91 |
Max Drawdown | -31.09% | -30.96% |
Longest DD Days | 1330 | 796 |
Volatility (ann.) | 15.3% | 16.59% |
R^2 | 0.19 | 0.19 |
Information Ratio | -0.04 | -0.04 |
Calmar | 0.02 | 0.35 |
Skew | -3.27 | -0.76 |
Kurtosis | 55.14 | 10.33 |
Expected Daily | 0.0% | 0.04% |
Expected Monthly | 0.06% | 0.86% |
Expected Yearly | 0.63% | 9.88% |
Kelly Criterion | -2.52% | 2.66% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.58% | -1.67% |
Expected Shortfall (cVaR) | -1.58% | -1.67% |
Max Consecutive Wins | 6 | 12 |
Max Consecutive Losses | 7 | 9 |
Gain/Pain Ratio | 0.04 | 0.14 |
Gain/Pain (1M) | 0.22 | 0.66 |
Payoff Ratio | 0.79 | 0.87 |
Profit Factor | 1.04 | 1.14 |
Common Sense Ratio | 1.18 | 1.27 |
CPC Index | 0.45 | 0.54 |
Tail Ratio | 1.14 | 1.11 |
Outlier Win Ratio | 10.77 | 3.68 |
Outlier Loss Ratio | 2.85 | 4.37 |
MTD | 0.0% | 4.01% |
3M | 0.0% | 12.53% |
6M | 0.0% | 12.12% |
YTD | 0.0% | 13.54% |
1Y | 0.0% | 18.54% |
3Y (ann.) | 0.0% | 18.47% |
5Y (ann.) | 0.53% | 12.04% |
10Y (ann.) | 0.69% | 10.98% |
All-time (ann.) | 0.69% | 10.98% |
Best Day | 7.62% | 7.58% |
Worst Day | -15.29% | -8.52% |
Best Month | 11.23% | 11.45% |
Worst Month | -15.75% | -10.81% |
Best Year | 16.54% | 27.43% |
Worst Year | -19.44% | -20.51% |
Avg. Drawdown | -2.94% | -2.53% |
Avg. Drawdown Days | 53 | 26 |
Recovery Factor | 0.12 | 2.45 |
Ulcer Index | 0.17 | 0.11 |
Serenity Index | -0.01 | 0.33 |
Avg. Up Month | 3.84% | 4.04% |
Avg. Down Month | -4.95% | -4.08% |
Win Days | 54.77% | 54.58% |
Win Month | 57.69% | 63.64% |
Win Quarter | 66.67% | 63.64% |
Win Year | 66.67% | 83.33% |
Beta | 0.4 | - |
Alpha | -0.03 | - |
Correlation | 43.11% | - |
Treynor Ratio | -8.02% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 16.57 | 16.54 | 1.00 | - |
2021 | 11.67 | 10.57 | 0.91 | - |
2022 | -20.51 | -19.44 | 0.95 | + |
2023 | 27.43 | 0.00 | 0.00 | - |
2024 | 17.56 | 0.00 | 0.00 | - |
2025 | 13.54 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-13 | 2020-08-12 | -31.09 | 181 |
2021-11-08 | 2025-06-30 | -22.95 | 1330 |
2020-08-28 | 2020-11-09 | -7.56 | 73 |
2021-02-18 | 2021-04-16 | -5.90 | 57 |
2021-09-16 | 2021-11-05 | -5.64 | 50 |
2021-01-27 | 2021-02-08 | -3.99 | 12 |
2021-07-15 | 2021-09-01 | -3.35 | 48 |
2021-04-19 | 2021-06-01 | -3.34 | 43 |
2021-07-06 | 2021-07-14 | -1.81 | 8 |
2020-08-20 | 2020-08-24 | -1.81 | 4 |