Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 81.0% | 100.0% |
Cumulative Return | 26.17% | 26.96% |
CAGR﹪ | 5.45% | 5.6% |
Sharpe | -4.9 | -36.83 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.86 | -21.54 |
Sortino | -6.89 | -14.62 |
Smart Sortino | -4.03 | -8.55 |
Sortino/√2 | -4.87 | -10.34 |
Smart Sortino/√2 | -2.85 | -6.04 |
Omega | 0.17 | 0.17 |
Max Drawdown | -33.13% | -7.42% |
Longest DD Days | 183 | 169 |
Volatility (ann.) | 39.09% | 5.38% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.16 | 0.75 |
Skew | 6.94 | -2.93 |
Kurtosis | 245.47 | 40.16 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.44% | 0.45% |
Expected Yearly | 3.95% | 4.06% |
Kelly Criterion | 30.36% | 14.43% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.98% | -0.52% |
Expected Shortfall (cVaR) | -3.98% | -0.52% |
Max Consecutive Wins | 5 | 10 |
Max Consecutive Losses | 4 | 10 |
Gain/Pain Ratio | 0.27 | 0.58 |
Gain/Pain (1M) | 2.35 | 1.64 |
Payoff Ratio | 1.57 | 0.86 |
Profit Factor | 1.27 | 1.58 |
Common Sense Ratio | 1.47 | 2.48 |
CPC Index | 1.15 | 0.82 |
Tail Ratio | 1.15 | 1.56 |
Outlier Win Ratio | 3.43 | 8.94 |
Outlier Loss Ratio | 2.14 | 8.59 |
MTD | 1.23% | 0.34% |
3M | 1.23% | 0.69% |
6M | 4.44% | 4.31% |
YTD | 3.62% | 1.24% |
1Y | 3.62% | 2.96% |
3Y (ann.) | 4.97% | 5.19% |
5Y (ann.) | 5.45% | 5.6% |
10Y (ann.) | 5.45% | 5.6% |
All-time (ann.) | 5.45% | 5.6% |
Best Day | 45.25% | 1.84% |
Worst Day | -31.79% | -4.0% |
Best Month | 4.86% | 5.19% |
Worst Month | -5.24% | -4.83% |
Best Year | 9.49% | 9.51% |
Worst Year | 0.47% | 1.24% |
Avg. Drawdown | -1.62% | -0.42% |
Avg. Drawdown Days | 21 | 17 |
Recovery Factor | 0.79 | 3.63 |
Ulcer Index | 0.02 | 0.01 |
Serenity Index | -183.48 | -84.27 |
Avg. Up Month | 1.23% | 1.1% |
Avg. Down Month | -1.18% | -1.2% |
Win Days | 57.42% | 60.52% |
Win Month | 65.38% | 73.08% |
Win Quarter | 73.68% | 78.95% |
Win Year | 100.0% | 100.0% |
Beta | 0.5 | - |
Alpha | 0.12 | - |
Correlation | 6.87% | - |
Treynor Ratio | -1351.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 1.54 | 1.15 | 0.75 | - |
2020 | 7.72 | 8.25 | 1.07 | + |
2021 | 1.43 | 1.09 | 0.76 | - |
2022 | 9.51 | 9.49 | 1.00 | - |
2023 | 3.22 | 0.47 | 0.15 | - |
2024 | 1.24 | 3.62 | 2.93 | + |
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 | 2024-04-12 | -2.72 | 60 |
2022-06-17 | 2022-07-15 | -2.69 | 28 |
2023-02-02 | 2023-02-28 | -2.18 | 26 |
2023-01-18 | 2023-02-01 | -2.18 | 14 |
2021-09-23 | 2021-12-28 | -1.97 | 96 |
2023-07-11 | 2023-08-03 | -1.97 | 23 |