Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 19.08% | 19.49% |
CAGR﹪ | 6.66% | 6.8% |
Sharpe | -6.78 | -6.97 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.59 | -5.74 |
Sortino | -6.84 | -7.07 |
Smart Sortino | -5.64 | -5.82 |
Sortino/√2 | -4.84 | -5.0 |
Smart Sortino/√2 | -3.99 | -4.12 |
Omega | 0.24 | 0.24 |
Max Drawdown | -45.18% | -44.44% |
Longest DD Days | 683 | 683 |
Volatility (ann.) | 29.12% | 28.33% |
R^2 | 0.72 | 0.72 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.15 | 0.15 |
Skew | -2.98 | -3.72 |
Kurtosis | 40.92 | 83.85 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.53% | 0.54% |
Expected Yearly | 4.46% | 4.55% |
Kelly Criterion | 0.54% | 1.93% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.97% | -2.89% |
Expected Shortfall (cVaR) | -2.97% | -2.89% |
Max Consecutive Wins | 7 | 9 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.09 | 0.1 |
Gain/Pain (1M) | 0.45 | 0.48 |
Payoff Ratio | 0.87 | 0.79 |
Profit Factor | 1.09 | 1.1 |
Common Sense Ratio | 1.11 | 1.07 |
CPC Index | 0.51 | 0.49 |
Tail Ratio | 1.02 | 0.97 |
Outlier Win Ratio | 3.36 | 4.07 |
Outlier Loss Ratio | 3.84 | 4.49 |
MTD | 2.54% | 3.31% |
3M | 9.88% | 10.6% |
6M | 10.99% | 11.97% |
YTD | 14.34% | 15.22% |
1Y | 42.59% | 44.01% |
3Y (ann.) | 6.66% | 6.8% |
5Y (ann.) | 6.66% | 6.8% |
10Y (ann.) | 6.66% | 6.8% |
All-time (ann.) | 6.66% | 6.8% |
Best Day | 12.19% | 17.47% |
Worst Day | -22.27% | -25.81% |
Best Month | 18.05% | 15.8% |
Worst Month | -21.38% | -19.43% |
Best Year | 50.35% | 48.67% |
Worst Year | -29.89% | -29.77% |
Avg. Drawdown | -3.32% | -3.39% |
Avg. Drawdown Days | 38 | 42 |
Recovery Factor | 0.42 | 0.44 |
Ulcer Index | 0.22 | 0.22 |
Serenity Index | -1.42 | -1.4 |
Avg. Up Month | 4.38% | 4.22% |
Avg. Down Month | -6.06% | -5.75% |
Win Days | 53.75% | 56.81% |
Win Month | 66.67% | 63.64% |
Win Quarter | 66.67% | 58.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.87 | - |
Alpha | 0.01 | - |
Correlation | 85.04% | - |
Treynor Ratio | -778.92% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -0.68 | -1.21 | 1.77 | - |
2022 | -29.77 | -29.89 | 1.00 | - |
2023 | 48.67 | 50.35 | 1.03 | + |
2024 | 15.22 | 14.34 | 0.94 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2023-09-04 | -45.18 | 683 |
2023-10-26 | 2024-01-12 | -8.57 | 78 |
2023-09-05 | 2023-10-17 | -7.17 | 42 |
2024-02-20 | 2024-03-01 | -3.42 | 10 |
2021-09-10 | 2021-10-05 | -2.99 | 25 |
2024-03-12 | 2024-03-28 | -2.65 | 16 |
2021-08-12 | 2021-08-30 | -1.83 | 18 |
2024-01-23 | 2024-01-30 | -0.99 | 7 |
2024-04-17 | 2024-04-19 | -0.90 | 2 |
2021-10-12 | 2021-10-18 | -0.76 | 6 |