Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 18.15% | 25.67% |
CAGR﹪ | 6.28% | 8.7% |
Sharpe | 0.37 | 0.5 |
Prob. Sharpe Ratio | 71.87% | 79.57% |
Smart Sharpe | 0.31 | 0.41 |
Sortino | 0.48 | 0.78 |
Smart Sortino | 0.4 | 0.65 |
Sortino/√2 | 0.34 | 0.55 |
Smart Sortino/√2 | 0.28 | 0.46 |
Omega | 1.08 | 1.08 |
Max Drawdown | -45.18% | -39.65% |
Longest DD Days | 683 | 455 |
Volatility (ann.) | 28.98% | 22.83% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.14 | 0.22 |
Skew | -2.99 | 1.93 |
Kurtosis | 41.22 | 23.3 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.49% | 0.67% |
Expected Yearly | 4.26% | 5.88% |
Kelly Criterion | 12.18% | -3.48% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.96% | -2.32% |
Expected Shortfall (cVaR) | -2.96% | -2.32% |
Max Consecutive Wins | 7 | 9 |
Max Consecutive Losses | 6 | 9 |
Gain/Pain Ratio | 0.08 | 0.11 |
Gain/Pain (1M) | 0.44 | 0.46 |
Payoff Ratio | 1.11 | 0.88 |
Profit Factor | 1.08 | 1.11 |
Common Sense Ratio | 1.11 | 1.01 |
CPC Index | 0.65 | 0.5 |
Tail Ratio | 1.03 | 0.91 |
Outlier Win Ratio | 3.89 | 4.5 |
Outlier Loss Ratio | 3.43 | 4.77 |
MTD | 1.18% | -0.59% |
3M | 9.12% | 3.76% |
6M | 9.83% | -1.57% |
YTD | 12.83% | 1.75% |
1Y | 39.39% | 13.04% |
3Y (ann.) | 6.28% | 8.7% |
5Y (ann.) | 6.28% | 8.7% |
10Y (ann.) | 6.28% | 8.7% |
All-time (ann.) | 6.28% | 8.7% |
Best Day | 12.19% | 14.68% |
Worst Day | -22.27% | -6.67% |
Best Month | 18.05% | 19.77% |
Worst Month | -21.38% | -16.34% |
Best Year | 50.35% | 29.27% |
Worst Year | -29.89% | -6.4% |
Avg. Drawdown | -3.27% | -4.62% |
Avg. Drawdown Days | 37 | 50 |
Recovery Factor | 0.4 | 0.65 |
Ulcer Index | 0.22 | 0.16 |
Serenity Index | 0.04 | 0.08 |
Avg. Up Month | 5.08% | 3.84% |
Avg. Down Month | -4.99% | -8.73% |
Win Days | 53.86% | 51.63% |
Win Month | 66.67% | 60.61% |
Win Quarter | 66.67% | 66.67% |
Win Year | 50.0% | 75.0% |
Beta | -0.17 | - |
Alpha | 0.13 | - |
Correlation | -13.62% | - |
Treynor Ratio | -104.94% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.08 | -0.67 | -0.32 | - |
2022 | -6.40 | -29.89 | 4.67 | - |
2023 | 29.27 | 50.35 | 1.72 | + |
2024 | 1.75 | 12.83 | 7.35 | + |
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 |
2024-04-17 | 2024-04-25 | -2.62 | 8 |
2021-08-12 | 2021-08-30 | -1.83 | 18 |
2024-01-23 | 2024-01-30 | -0.99 | 7 |
2021-10-12 | 2021-10-18 | -0.76 | 6 |