Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 81.0% | 100.0% |
Cumulative Return | 28.31% | 43.52% |
CAGR﹪ | 5.64% | 8.28% |
Sharpe | 0.46 | 0.71 |
Prob. Sharpe Ratio | 77.66% | 86.4% |
Smart Sharpe | 0.27 | 0.42 |
Sortino | 0.78 | 1.11 |
Smart Sortino | 0.46 | 0.65 |
Sortino/√2 | 0.55 | 0.79 |
Smart Sortino/√2 | 0.32 | 0.46 |
Omega | 1.28 | 1.28 |
Max Drawdown | -33.13% | -39.65% |
Longest DD Days | 183 | 493 |
Volatility (ann.) | 38.98% | 27.17% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.17 | 0.21 |
Skew | 6.95 | 0.89 |
Kurtosis | 246.5 | 11.31 |
Expected Daily | 0.04% | 0.06% |
Expected Monthly | 0.46% | 0.67% |
Expected Yearly | 4.24% | 6.21% |
Kelly Criterion | 21.69% | 10.83% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.97% | -2.74% |
Expected Shortfall (cVaR) | -3.97% | -2.74% |
Max Consecutive Wins | 5 | 8 |
Max Consecutive Losses | 4 | 9 |
Gain/Pain Ratio | 0.28 | 0.16 |
Gain/Pain (1M) | 2.45 | 0.48 |
Payoff Ratio | 1.2 | 1.24 |
Profit Factor | 1.28 | 1.16 |
Common Sense Ratio | 1.49 | 1.28 |
CPC Index | 0.88 | 0.73 |
Tail Ratio | 1.16 | 1.1 |
Outlier Win Ratio | 7.88 | 3.64 |
Outlier Loss Ratio | 4.89 | 3.79 |
MTD | 0.77% | 0.68% |
3M | 1.55% | 6.07% |
6M | 3.97% | -4.38% |
YTD | 3.15% | 3.06% |
1Y | 3.15% | 14.11% |
3Y (ann.) | 4.74% | 8.4% |
5Y (ann.) | 5.64% | 8.28% |
10Y (ann.) | 5.64% | 8.28% |
All-time (ann.) | 5.64% | 8.28% |
Best Day | 45.25% | 12.2% |
Worst Day | -31.79% | -9.04% |
Best Month | 4.86% | 19.77% |
Worst Month | -5.24% | -16.34% |
Best Year | 9.49% | 29.27% |
Worst Year | 0.47% | -5.53% |
Avg. Drawdown | -1.65% | -11.35% |
Avg. Drawdown Days | 23 | 194 |
Recovery Factor | 0.85 | 1.1 |
Ulcer Index | 0.02 | 0.13 |
Serenity Index | 7.73 | 0.26 |
Avg. Up Month | 0.98% | 4.66% |
Avg. Down Month | -0.41% | -2.13% |
Win Days | 57.36% | 50.69% |
Win Month | 66.04% | 54.72% |
Win Quarter | 73.68% | 63.16% |
Win Year | 100.0% | 50.0% |
Beta | -0.02 | - |
Alpha | 0.18 | - |
Correlation | -1.51% | - |
Treynor Ratio | -1310.37% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | -4.47 | 3.33 | -0.74 | + |
2020 | 20.05 | 8.25 | 0.41 | - |
2021 | -0.57 | 1.09 | -1.91 | + |
2022 | -5.53 | 9.49 | -1.72 | + |
2023 | 29.27 | 0.47 | 0.02 | - |
2024 | 3.06 | 3.15 | 1.03 | + |
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 | 2024-04-23 | -2.72 | 71 |
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 |