Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 16.7% | 15.05% |
CAGR﹪ | 7.03% | 6.36% |
Sharpe | 0.58 | 15.65 |
Prob. Sharpe Ratio | 84.11% | 100.0% |
Smart Sharpe | 0.56 | 15.19 |
Sortino | 1.1 | 60.34 |
Smart Sortino | 1.07 | 58.57 |
Sortino/√2 | 0.78 | 42.67 |
Smart Sortino/√2 | 0.76 | 41.41 |
Omega | 1.29 | 1.29 |
Max Drawdown | -11.03% | -1.25% |
Longest DD Days | 227 | 209 |
Volatility (ann.) | 13.87% | 0.41% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.64 | 5.07 |
Skew | 9.75 | 0.47 |
Kurtosis | 256.59 | 1.14 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.57% | 0.52% |
Expected Yearly | 3.94% | 3.57% |
Kelly Criterion | 18.78% | 80.81% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.4% | -0.02% |
Expected Shortfall (cVaR) | -1.4% | -0.02% |
Max Consecutive Wins | 7 | 401 |
Max Consecutive Losses | 7 | 65 |
Gain/Pain Ratio | 0.29 | 11.11 |
Gain/Pain (1M) | 1.0 | 11.11 |
Payoff Ratio | 1.32 | 1.64 |
Profit Factor | 1.29 | 12.11 |
Common Sense Ratio | 1.27 | 42.07 |
CPC Index | 0.91 | 17.51 |
Tail Ratio | 0.99 | 3.47 |
Outlier Win Ratio | 1.58 | 12.91 |
Outlier Loss Ratio | 1.65 | 21.32 |
MTD | 1.74% | 0.68% |
3M | -1.72% | 2.27% |
6M | -3.58% | 5.03% |
YTD | -2.13% | 2.24% |
1Y | -3.17% | 8.06% |
3Y (ann.) | 7.03% | 6.36% |
5Y (ann.) | 7.03% | 6.36% |
10Y (ann.) | 7.03% | 6.36% |
All-time (ann.) | 7.03% | 6.36% |
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% | 7.42% |
Worst Year | -2.13% | 0.73% |
Avg. Drawdown | -0.65% | -1.25% |
Avg. Drawdown Days | 13 | 209 |
Recovery Factor | 1.51 | 12.0 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 1.02 | 1.03 |
Avg. Up Month | 2.0% | 0.57% |
Avg. Down Month | -0.76% | -0.52% |
Win Days | 53.8% | 88.07% |
Win Month | 66.67% | 88.89% |
Win Quarter | 60.0% | 90.0% |
Win Year | 75.0% | 100.0% |
Beta | 2.75 | - |
Alpha | -0.1 | - |
Correlation | 8.21% | - |
Treynor Ratio | 6.07% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.73 | 0.39 | 0.54 | - |
2022 | 4.01 | 17.01 | 4.24 | + |
2023 | 7.42 | 1.51 | 0.20 | - |
2024 | 2.24 | -2.13 | -0.95 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-04-11 | -11.03 | 96 |
2023-08-15 | 2024-03-29 | -8.13 | 227 |
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 |