Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 81.0% | 100.0% |
Cumulative Return | 28.89% | 72.4% |
CAGR﹪ | 5.79% | 12.83% |
Sharpe | -4.88 | -4.04 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.86 | -2.36 |
Sortino | -6.87 | -4.55 |
Smart Sortino | -4.02 | -2.66 |
Sortino/√2 | -4.86 | -3.22 |
Smart Sortino/√2 | -2.84 | -1.88 |
Omega | 0.17 | 0.17 |
Max Drawdown | -33.13% | -53.0% |
Longest DD Days | 183 | 904 |
Volatility (ann.) | 39.01% | 43.37% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.17 | 0.24 |
Skew | 6.94 | -2.82 |
Kurtosis | 246.1 | 46.23 |
Expected Daily | 0.04% | 0.09% |
Expected Monthly | 0.47% | 1.01% |
Expected Yearly | 4.32% | 9.5% |
Kelly Criterion | 28.34% | 4.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.97% | -4.36% |
Expected Shortfall (cVaR) | -3.97% | -4.36% |
Max Consecutive Wins | 5 | 11 |
Max Consecutive Losses | 4 | 10 |
Gain/Pain Ratio | 0.29 | 0.2 |
Gain/Pain (1M) | 2.47 | 0.74 |
Payoff Ratio | 1.46 | 0.82 |
Profit Factor | 1.29 | 1.2 |
Common Sense Ratio | 1.49 | 1.25 |
CPC Index | 1.08 | 0.56 |
Tail Ratio | 1.16 | 1.04 |
Outlier Win Ratio | 8.46 | 3.0 |
Outlier Loss Ratio | 7.25 | 3.43 |
MTD | 1.23% | 4.33% |
3M | 1.23% | 9.95% |
6M | 4.44% | 11.7% |
YTD | 3.62% | 12.38% |
1Y | 3.62% | 45.62% |
3Y (ann.) | 4.97% | 5.63% |
5Y (ann.) | 5.79% | 12.83% |
10Y (ann.) | 5.79% | 12.83% |
All-time (ann.) | 5.79% | 12.83% |
Best Day | 45.25% | 20.04% |
Worst Day | -31.79% | -33.28% |
Best Month | 4.86% | 15.61% |
Worst Month | -5.24% | -29.18% |
Best Year | 9.49% | 53.84% |
Worst Year | 0.47% | -36.48% |
Avg. Drawdown | -1.65% | -4.22% |
Avg. Drawdown Days | 23 | 46 |
Recovery Factor | 0.87 | 1.37 |
Ulcer Index | 0.02 | 0.21 |
Serenity Index | -183.27 | -1.97 |
Avg. Up Month | 1.2% | 5.13% |
Avg. Down Month | -1.48% | -9.99% |
Win Days | 57.48% | 57.17% |
Win Month | 66.04% | 67.92% |
Win Quarter | 73.68% | 73.68% |
Win Year | 100.0% | 83.33% |
Beta | 0.03 | - |
Alpha | 0.17 | - |
Correlation | 2.86% | - |
Treynor Ratio | -26124.49% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 13.65 | 3.33 | 0.24 | - |
2020 | 14.82 | 8.25 | 0.56 | - |
2021 | 20.31 | 1.09 | 0.05 | - |
2022 | -36.48 | 9.49 | -0.26 | + |
2023 | 53.84 | 0.47 | 0.01 | - |
2024 | 12.38 | 3.62 | 0.29 | - |
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 | 2023-03-23 | -2.18 | 49 |
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 |