Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 98.0% |
Cumulative Return | 7.44% | 1.96% |
CAGR﹪ | 44.59% | 10.49% |
Sharpe | 1.31 | 55.43 |
Prob. Sharpe Ratio | 70.85% | 100.0% |
Smart Sharpe | 0.89 | 37.73 |
Sortino | 1.8 | - |
Smart Sortino | 1.22 | - |
Sortino/√2 | 1.27 | - |
Smart Sortino/√2 | 0.86 | - |
Omega | 1.27 | 1.27 |
Max Drawdown | -11.42% | - |
Longest DD Days | - | - |
Volatility (ann.) | 32.09% | 0.18% |
R^2 | 0.03 | 0.03 |
Information Ratio | 0.06 | 0.06 |
Calmar | 3.9 | - |
Skew | -0.93 | -0.04 |
Kurtosis | 5.1 | 2.19 |
Expected Daily | 0.15% | 0.04% |
Expected Monthly | 2.42% | 0.65% |
Expected Yearly | 3.65% | 0.97% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.16% | -0.02% |
Expected Shortfall (cVaR) | -3.16% | -0.02% |
Max Consecutive Wins | 8 | 48 |
Max Consecutive Losses | 4 | 0 |
Gain/Pain Ratio | 0.27 | - |
Gain/Pain (1M) | 1.58 | - |
Payoff Ratio | - | - |
Profit Factor | 1.27 | - |
Common Sense Ratio | 1.12 | - |
CPC Index | - | - |
Tail Ratio | 0.88 | 1.8 |
Outlier Win Ratio | 1.76 | 58.94 |
Outlier Loss Ratio | 1.97 | - |
MTD | 5.62% | 0.71% |
3M | 7.44% | 1.96% |
6M | 7.44% | 1.96% |
YTD | -0.28% | 1.36% |
1Y | 7.44% | 1.96% |
3Y (ann.) | 44.59% | 10.49% |
5Y (ann.) | 44.59% | 10.49% |
10Y (ann.) | 44.59% | 10.49% |
All-time (ann.) | 44.59% | 10.49% |
Best Day | 6.15% | 0.06% |
Worst Day | -7.75% | 0.0% |
Best Month | 7.74% | 0.71% |
Worst Month | -5.59% | 0.59% |
Best Year | 7.74% | 1.36% |
Worst Year | -0.28% | 0.59% |
Avg. Drawdown | -4.81% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.65 | - |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | 0.18 | - |
Avg. Up Month | 6.68% | 0.65% |
Avg. Down Month | - | - |
Win Days | 58.33% | 100.0% |
Win Month | 66.67% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | 29.21 | - |
Alpha | -2.49 | - |
Correlation | 16.39% | - |
Treynor Ratio | 0.25% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.59 | 7.74 | 13.21 | + |
2022 | 1.36 | -0.28 | -0.21 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-10 | 2022-02-25 | -11.42 | 46 |
2021-12-20 | 2021-12-22 | -2.78 | 2 |
2022-01-03 | 2022-01-04 | -0.24 | 1 |