Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 80.0% | 100.0% |
Cumulative Return | 22.42% | 42.02% |
CAGR﹪ | 4.39% | 7.74% |
Sharpe | 0.6 | 15.92 |
Prob. Sharpe Ratio | 81.92% | 100.0% |
Smart Sharpe | 0.45 | 11.96 |
Sortino | 0.83 | - |
Smart Sortino | 0.62 | - |
Sortino/√2 | 0.59 | - |
Smart Sortino/√2 | 0.44 | - |
Omega | 1.16 | 1.16 |
Max Drawdown | -16.05% | - |
Longest DD Days | - | - |
Volatility (ann.) | 15.78% | 0.89% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.27 | - |
Skew | -1.33 | 2.91 |
Kurtosis | 28.13 | 10.69 |
Expected Daily | 0.03% | 0.06% |
Expected Monthly | 0.36% | 0.62% |
Expected Yearly | 3.43% | 6.02% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.6% | -0.04% |
Expected Shortfall (cVaR) | -1.6% | -0.04% |
Max Consecutive Wins | 8 | 623 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.16 | - |
Gain/Pain (1M) | 0.78 | - |
Payoff Ratio | - | - |
Profit Factor | 1.16 | - |
Common Sense Ratio | 1.35 | - |
CPC Index | - | - |
Tail Ratio | 1.16 | 9.04 |
Outlier Win Ratio | 4.01 | 29.46 |
Outlier Loss Ratio | 2.46 | - |
MTD | -0.48% | 1.24% |
3M | -0.32% | 5.04% |
6M | -1.28% | 8.62% |
YTD | -0.32% | 5.04% |
1Y | -0.32% | 13.33% |
3Y (ann.) | 1.99% | 9.33% |
5Y (ann.) | 4.39% | 7.74% |
10Y (ann.) | 4.39% | 7.74% |
All-time (ann.) | 4.39% | 7.74% |
Best Day | 6.29% | 0.41% |
Worst Day | -10.58% | 0.0% |
Best Month | 5.59% | 1.24% |
Worst Month | -7.06% | 0.0% |
Best Year | 9.58% | 10.02% |
Worst Year | -2.12% | 2.69% |
Avg. Drawdown | -1.77% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.4 | - |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 1.03 | - |
Avg. Up Month | 1.49% | 0.62% |
Avg. Down Month | - | - |
Win Days | 55.13% | 100.0% |
Win Month | 63.64% | 100.0% |
Win Quarter | 60.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | 0.21 | - |
Alpha | 0.06 | - |
Correlation | 1.2% | - |
Treynor Ratio | 105.61% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 2.69 | 6.65 | 2.47 | + |
2020 | 4.97 | 9.58 | 1.93 | + |
2021 | 5.82 | -2.12 | -0.36 | - |
2022 | 7.74 | 8.59 | 1.11 | + |
2023 | 10.02 | -1.12 | -0.11 | - |
2024 | 5.04 | -0.32 | -0.06 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-14 | 2022-06-27 | -16.05 | 529 |
2023-06-22 | 2024-04-04 | -7.72 | 287 |
2020-02-18 | 2020-04-29 | -5.48 | 71 |
2022-06-29 | 2022-12-13 | -4.95 | 167 |
2020-08-13 | 2020-09-08 | -4.35 | 26 |
2023-01-24 | 2023-04-17 | -3.02 | 83 |
2022-12-14 | 2022-12-19 | -2.24 | 5 |
2020-10-12 | 2020-12-15 | -1.79 | 64 |
2023-01-04 | 2023-01-16 | -1.76 | 12 |
2023-04-18 | 2023-05-03 | -1.74 | 15 |