Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 1.84% | 20.05% |
CAGR﹪ | 0.85% | 8.86% |
Sharpe | 0.2 | 15.0 |
Prob. Sharpe Ratio | 60.73% | 100.0% |
Smart Sharpe | 0.16 | 12.27 |
Sortino | 0.25 | - |
Smart Sortino | 0.21 | - |
Sortino/√2 | 0.18 | - |
Smart Sortino/√2 | 0.14 | - |
Omega | 1.04 | 1.04 |
Max Drawdown | -45.18% | - |
Longest DD Days | - | - |
Volatility (ann.) | 32.23% | 0.61% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.02 | - |
Skew | -2.78 | 11.52 |
Kurtosis | 34.37 | 139.71 |
Expected Daily | 0.0% | 0.04% |
Expected Monthly | 0.07% | 0.68% |
Expected Yearly | 0.61% | 6.28% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.31% | -0.03% |
Expected Shortfall (cVaR) | -3.31% | -0.03% |
Max Consecutive Wins | 7 | 501 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.04 | - |
Gain/Pain (1M) | 0.19 | - |
Payoff Ratio | - | - |
Profit Factor | 1.04 | - |
Common Sense Ratio | 0.99 | - |
CPC Index | - | - |
Tail Ratio | 0.95 | 2.01 |
Outlier Win Ratio | 1.86 | 60.13 |
Outlier Loss Ratio | 2.07 | - |
MTD | -4.93% | 0.81% |
3M | 7.7% | 2.52% |
6M | 30.23% | 4.53% |
YTD | 44.82% | 6.34% |
1Y | 48.51% | 8.52% |
3Y (ann.) | 0.85% | 8.86% |
5Y (ann.) | 0.85% | 8.86% |
10Y (ann.) | 0.85% | 8.86% |
All-time (ann.) | 0.85% | 8.86% |
Best Day | 12.19% | 0.51% |
Worst Day | -22.27% | 0.0% |
Best Month | 18.05% | 1.55% |
Worst Month | -21.38% | 0.31% |
Best Year | 44.82% | 9.41% |
Worst Year | -29.89% | 3.19% |
Avg. Drawdown | -7.38% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.04 | - |
Ulcer Index | 0.25 | 0.0 |
Serenity Index | 0.0 | - |
Avg. Up Month | 4.68% | 0.66% |
Avg. Down Month | - | - |
Win Days | 51.03% | 100.0% |
Win Month | 62.96% | 100.0% |
Win Quarter | 55.56% | 100.0% |
Win Year | 66.67% | 100.0% |
Beta | 3.86 | - |
Alpha | -0.29 | - |
Correlation | 7.33% | - |
Treynor Ratio | 0.48% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.19 | 0.29 | 0.09 | - |
2022 | 9.41 | -29.89 | -3.18 | - |
2023 | 6.34 | 44.82 | 7.07 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2023-09-04 | -45.18 | 683 |
2023-09-05 | 2023-09-22 | -7.17 | 17 |
2021-09-10 | 2021-10-05 | -2.99 | 25 |
2021-08-12 | 2021-08-30 | -1.83 | 18 |
2021-10-12 | 2021-10-18 | -0.76 | 6 |
2021-07-30 | 2021-08-11 | -0.75 | 12 |
2021-08-31 | 2021-09-02 | -0.22 | 2 |
2021-09-07 | 2021-09-08 | -0.11 | 1 |