Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 22.12% | 7.5% |
CAGR﹪ | 14.58% | 5.05% |
Sharpe | 0.94 | 10.88 |
Prob. Sharpe Ratio | 90.95% | 100.0% |
Smart Sharpe | 0.91 | 10.49 |
Sortino | 1.84 | 39.37 |
Smart Sortino | 1.78 | 37.97 |
Sortino/√2 | 1.3 | 27.84 |
Smart Sortino/√2 | 1.26 | 26.85 |
Omega | 1.57 | 1.57 |
Max Drawdown | -11.03% | -1.25% |
Longest DD Days | 96 | 209 |
Volatility (ann.) | 17.18% | 0.49% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.04 | 0.04 |
Calmar | 1.32 | 4.02 |
Skew | 8.16 | 0.84 |
Kurtosis | 173.74 | 0.67 |
Expected Daily | 0.06% | 0.02% |
Expected Monthly | 1.12% | 0.4% |
Expected Yearly | 6.89% | 2.44% |
Kelly Criterion | 30.44% | 69.26% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.72% | -0.03% |
Expected Shortfall (cVaR) | -1.72% | -0.03% |
Max Consecutive Wins | 7 | 196 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.57 | 5.73 |
Gain/Pain (1M) | 2.4 | 5.73 |
Payoff Ratio | 1.55 | 1.65 |
Profit Factor | 1.57 | 6.73 |
Common Sense Ratio | 1.82 | 26.95 |
CPC Index | 1.41 | 8.95 |
Tail Ratio | 1.15 | 4.01 |
Outlier Win Ratio | 1.54 | 14.87 |
Outlier Loss Ratio | 1.35 | 18.99 |
MTD | 0.33% | 0.13% |
3M | 1.82% | 1.2% |
6M | 4.88% | 3.19% |
YTD | 3.97% | 2.61% |
1Y | 7.74% | 2.83% |
3Y (ann.) | 14.58% | 5.05% |
5Y (ann.) | 14.58% | 5.05% |
10Y (ann.) | 14.58% | 5.05% |
All-time (ann.) | 14.58% | 5.05% |
Best Day | 16.44% | 0.1% |
Worst Day | -9.67% | -0.02% |
Best Month | 19.35% | 1.56% |
Worst Month | -7.89% | -0.52% |
Best Year | 17.01% | 4.01% |
Worst Year | 0.39% | 0.73% |
Avg. Drawdown | -0.64% | -1.25% |
Avg. Drawdown Days | 10 | 209 |
Recovery Factor | 2.0 | 5.98 |
Ulcer Index | 0.01 | 0.01 |
Serenity Index | 13.64 | 0.38 |
Avg. Up Month | 2.16% | 0.54% |
Avg. Down Month | -0.76% | -0.52% |
Win Days | 57.75% | 80.88% |
Win Month | 83.33% | 83.33% |
Win Quarter | 85.71% | 85.71% |
Win Year | 100.0% | 100.0% |
Beta | 3.55 | - |
Alpha | -0.03 | - |
Correlation | 10.15% | - |
Treynor Ratio | 6.23% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.73 | 0.39 | 0.54 | - |
2022 | 4.01 | 17.01 | 4.24 | + |
2023 | 2.61 | 3.97 | 1.52 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-04-11 | -11.03 | 96 |
2022-06-16 | 2022-07-08 | -1.94 | 22 |
2022-07-13 | 2022-10-05 | -1.77 | 84 |
2022-05-20 | 2022-06-06 | -1.63 | 17 |
2023-01-12 | 2023-02-08 | -0.98 | 27 |
2022-10-18 | 2022-12-08 | -0.85 | 51 |
2022-10-06 | 2022-10-10 | -0.63 | 4 |
2022-05-12 | 2022-05-13 | -0.52 | 1 |
2022-04-25 | 2022-04-26 | -0.48 | 1 |
2022-04-27 | 2022-04-28 | -0.48 | 1 |