Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 81.0% | 100.0% |
Cumulative Return | 29.35% | 44.96% |
CAGR﹪ | 5.38% | 7.86% |
Sharpe | 0.46 | 17.69 |
Prob. Sharpe Ratio | 78.12% | 100.0% |
Smart Sharpe | 0.27 | 10.37 |
Sortino | 0.78 | - |
Smart Sortino | 0.46 | - |
Sortino/√2 | 0.55 | - |
Smart Sortino/√2 | 0.32 | - |
Omega | 1.28 | 1.28 |
Max Drawdown | -33.13% | - |
Longest DD Days | - | - |
Volatility (ann.) | 38.28% | 0.88% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.16 | - |
Skew | 7.06 | 2.59 |
Kurtosis | 255.24 | 11.35 |
Expected Daily | 0.04% | 0.06% |
Expected Monthly | 0.44% | 0.64% |
Expected Yearly | 4.38% | 6.38% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.9% | -0.03% |
Expected Shortfall (cVaR) | -3.9% | -0.03% |
Max Consecutive Wins | 5 | 602 |
Max Consecutive Losses | 4 | 0 |
Gain/Pain Ratio | 0.28 | - |
Gain/Pain (1M) | 2.37 | - |
Payoff Ratio | - | - |
Profit Factor | 1.28 | - |
Common Sense Ratio | 1.54 | - |
CPC Index | - | - |
Tail Ratio | 1.2 | 8.79 |
Outlier Win Ratio | 2.72 | 21.32 |
Outlier Loss Ratio | 1.38 | - |
MTD | -0.91% | 1.34% |
3M | -1.07% | 4.22% |
6M | 1.25% | 8.29% |
YTD | 2.36% | 7.8% |
1Y | -1.37% | 14.09% |
3Y (ann.) | 4.54% | 9.86% |
5Y (ann.) | 5.38% | 7.86% |
10Y (ann.) | 5.38% | 7.86% |
All-time (ann.) | 5.38% | 7.86% |
Best Day | 45.25% | 0.53% |
Worst Day | -31.79% | 0.0% |
Best Month | 4.86% | 1.34% |
Worst Month | -5.24% | 0.0% |
Best Year | 9.49% | 10.02% |
Worst Year | 0.47% | 2.13% |
Avg. Drawdown | -1.52% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.89 | - |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 8.13 | - |
Avg. Up Month | 1.23% | 0.6% |
Avg. Down Month | - | - |
Win Days | 57.14% | 100.0% |
Win Month | 64.91% | 100.0% |
Win Quarter | 75.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 1.47 | - |
Alpha | -0.05 | - |
Correlation | 3.37% | - |
Treynor Ratio | 19.98% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 2.13 | 4.98 | 2.34 | + |
2020 | 4.97 | 8.25 | 1.66 | + |
2021 | 5.82 | 1.09 | 0.19 | - |
2022 | 7.75 | 9.49 | 1.23 | + |
2023 | 10.02 | 0.47 | 0.05 | - |
2024 | 7.80 | 2.36 | 0.30 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-07 | 2024-02-06 | -33.13 | 183 |
2022-01-11 | 2022-06-10 | -8.67 | 150 |
2020-02-28 | 2020-04-13 | -3.41 | 45 |
2022-08-29 | 2022-10-19 | -3.30 | 51 |
2024-02-12 | 2024-06-26 | -2.72 | 135 |
2022-06-17 | 2022-07-15 | -2.69 | 28 |
2023-01-13 | 2023-03-23 | -2.18 | 69 |
2021-09-23 | 2021-12-28 | -1.97 | 96 |
2023-07-11 | 2023-08-03 | -1.97 | 23 |
2022-10-21 | 2022-11-08 | -1.92 | 18 |