Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 80.0% | 100.0% |
Cumulative Return | 23.02% | 22.65% |
CAGR﹪ | 4.52% | 4.45% |
Sharpe | -12.68 | -4.75 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.56 | -3.58 |
Sortino | -10.67 | -5.17 |
Smart Sortino | -8.05 | -3.9 |
Sortino/√2 | -7.54 | -3.65 |
Smart Sortino/√2 | -5.69 | -2.76 |
Omega | 0.11 | 0.11 |
Max Drawdown | -16.05% | -54.83% |
Longest DD Days | 529 | 898 |
Volatility (ann.) | 15.71% | 40.35% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.28 | 0.08 |
Skew | -1.36 | -3.35 |
Kurtosis | 28.77 | 56.29 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.37% | 0.37% |
Expected Yearly | 3.51% | 3.46% |
Kelly Criterion | 5.18% | -2.59% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.59% | -4.11% |
Expected Shortfall (cVaR) | -1.59% | -4.11% |
Max Consecutive Wins | 8 | 9 |
Max Consecutive Losses | 6 | 8 |
Gain/Pain Ratio | 0.17 | 0.1 |
Gain/Pain (1M) | 0.8 | 0.41 |
Payoff Ratio | 0.89 | 0.73 |
Profit Factor | 1.17 | 1.1 |
Common Sense Ratio | 1.37 | 1.08 |
CPC Index | 0.58 | 0.46 |
Tail Ratio | 1.17 | 0.98 |
Outlier Win Ratio | 10.31 | 3.31 |
Outlier Loss Ratio | 8.52 | 3.54 |
MTD | -0.16% | 3.23% |
3M | 1.97% | 6.95% |
6M | -0.8% | 7.42% |
YTD | 0.16% | 6.89% |
1Y | 0.32% | 38.2% |
3Y (ann.) | 2.43% | -2.82% |
5Y (ann.) | 4.52% | 4.45% |
10Y (ann.) | 4.52% | 4.45% |
All-time (ann.) | 4.52% | 4.45% |
Best Day | 6.29% | 20.04% |
Worst Day | -10.58% | -33.28% |
Best Month | 5.59% | 14.71% |
Worst Month | -7.06% | -30.02% |
Best Year | 9.58% | 44.34% |
Worst Year | -2.12% | -43.31% |
Avg. Drawdown | -1.77% | -5.0% |
Avg. Drawdown Days | 41 | 60 |
Recovery Factor | 1.43 | 0.41 |
Ulcer Index | 0.03 | 0.24 |
Serenity Index | -30.89 | -1.61 |
Avg. Up Month | 1.24% | 4.21% |
Avg. Down Month | -2.55% | -9.17% |
Win Days | 55.26% | 56.77% |
Win Month | 64.81% | 65.45% |
Win Quarter | 63.16% | 73.68% |
Win Year | 66.67% | 83.33% |
Beta | -0.05 | - |
Alpha | 0.11 | - |
Correlation | -13.75% | - |
Treynor Ratio | 12643.43% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 12.77 | 6.65 | 0.52 | - |
2020 | 7.98 | 9.58 | 1.20 | + |
2021 | 15.15 | -2.12 | -0.14 | - |
2022 | -43.31 | 8.59 | -0.20 | + |
2023 | 44.34 | -1.12 | -0.03 | - |
2024 | 6.89 | 0.16 | 0.02 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-14 | 2022-06-27 | -16.05 | 529 |
2023-06-22 | 2024-03-28 | -7.72 | 280 |
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 |