Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 116.96% | 46.96% |
CAGR﹪ | 21.19% | 10.02% |
Sharpe | -2.77 | -5.97 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.05 | -4.42 |
Sortino | -3.45 | -6.11 |
Smart Sortino | -2.56 | -4.52 |
Sortino/√2 | -2.44 | -4.32 |
Smart Sortino/√2 | -1.81 | -3.2 |
Omega | 0.48 | 0.48 |
Max Drawdown | -60.1% | -53.04% |
Longest DD Days | 650 | 743 |
Volatility (ann.) | 59.94% | 32.12% |
R^2 | 0.05 | 0.05 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.35 | 0.19 |
Skew | -1.83 | -5.53 |
Kurtosis | 71.46 | 108.54 |
Expected Daily | 0.09% | 0.05% |
Expected Monthly | 1.78% | 0.88% |
Expected Yearly | 16.75% | 8.0% |
Kelly Criterion | 2.27% | -0.9% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.04% | -3.26% |
Expected Shortfall (cVaR) | -6.04% | -3.26% |
Max Consecutive Wins | 8 | 11 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.22 | 0.15 |
Gain/Pain (1M) | 1.6 | 0.66 |
Payoff Ratio | 0.91 | 0.75 |
Profit Factor | 1.22 | 1.15 |
Common Sense Ratio | 1.51 | 1.16 |
CPC Index | 0.59 | 0.49 |
Tail Ratio | 1.24 | 1.01 |
Outlier Win Ratio | 2.66 | 5.0 |
Outlier Loss Ratio | 3.3 | 5.31 |
MTD | 1.11% | 0.24% |
3M | -5.71% | 3.72% |
6M | 37.63% | 27.72% |
YTD | 100.37% | 56.83% |
1Y | 108.81% | 60.53% |
3Y (ann.) | 5.38% | 7.71% |
5Y (ann.) | 21.19% | 10.02% |
10Y (ann.) | 21.19% | 10.02% |
All-time (ann.) | 21.19% | 10.02% |
Best Day | 32.07% | 20.04% |
Worst Day | -53.07% | -33.28% |
Best Month | 22.61% | 15.56% |
Worst Month | -52.11% | -30.02% |
Best Year | 100.37% | 56.83% |
Worst Year | -53.26% | -37.26% |
Avg. Drawdown | -5.94% | -3.63% |
Avg. Drawdown Days | 36 | 35 |
Recovery Factor | 1.95 | 0.89 |
Ulcer Index | 0.22 | 0.21 |
Serenity Index | -2.31 | -1.58 |
Avg. Up Month | 7.16% | 4.96% |
Avg. Down Month | -10.63% | -5.99% |
Win Days | 53.37% | 56.77% |
Win Month | 68.18% | 72.73% |
Win Quarter | 75.0% | 75.0% |
Win Year | 80.0% | 80.0% |
Beta | 0.41 | - |
Alpha | 0.36 | - |
Correlation | 21.79% | - |
Treynor Ratio | -1433.62% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 6.79 | 2.57 | 0.38 | - |
2020 | 14.82 | 85.91 | 5.80 | + |
2021 | 21.79 | 21.50 | 0.99 | - |
2022 | -37.26 | -53.26 | 1.43 | - |
2023 | 56.83 | 100.37 | 1.77 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2023-09-04 | -60.10 | 650 |
2020-05-25 | 2020-08-26 | -27.18 | 93 |
2023-09-05 | 2023-11-03 | -14.83 | 59 |
2020-02-21 | 2020-03-27 | -13.74 | 35 |
2020-09-03 | 2020-10-14 | -13.68 | 41 |
2021-02-17 | 2021-04-09 | -11.84 | 51 |
2021-09-09 | 2021-11-22 | -11.22 | 74 |
2021-04-14 | 2021-06-24 | -10.73 | 71 |
2020-10-15 | 2021-02-11 | -9.85 | 119 |
2020-03-30 | 2020-04-14 | -7.36 | 15 |