Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 117.59% | 44.7% |
CAGR﹪ | 21.49% | 9.69% |
Sharpe | 0.72 | 0.61 |
Prob. Sharpe Ratio | 89.42% | 81.83% |
Smart Sharpe | 0.53 | 0.45 |
Sortino | 1.0 | 0.73 |
Smart Sortino | 0.74 | 0.54 |
Sortino/√2 | 0.71 | 0.52 |
Smart Sortino/√2 | 0.52 | 0.38 |
Omega | 1.22 | 1.22 |
Max Drawdown | -60.1% | -32.89% |
Longest DD Days | 650 | 707 |
Volatility (ann.) | 60.14% | 22.96% |
R^2 | 0.18 | 0.18 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.36 | 0.29 |
Skew | -1.82 | -10.97 |
Kurtosis | 70.98 | 243.3 |
Expected Daily | 0.09% | 0.04% |
Expected Monthly | 1.82% | 0.86% |
Expected Yearly | 16.82% | 7.67% |
Kelly Criterion | 12.41% | 2.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.06% | -2.32% |
Expected Shortfall (cVaR) | -6.06% | -2.32% |
Max Consecutive Wins | 8 | 9 |
Max Consecutive Losses | 6 | 9 |
Gain/Pain Ratio | 0.22 | 0.17 |
Gain/Pain (1M) | 1.61 | 0.73 |
Payoff Ratio | 1.14 | 1.02 |
Profit Factor | 1.22 | 1.17 |
Common Sense Ratio | 1.52 | 1.52 |
CPC Index | 0.74 | 0.61 |
Tail Ratio | 1.25 | 1.3 |
Outlier Win Ratio | 2.5 | 5.91 |
Outlier Loss Ratio | 2.71 | 6.99 |
MTD | 1.11% | -1.05% |
3M | -5.71% | -1.85% |
6M | 37.63% | 15.17% |
YTD | 100.37% | 32.22% |
1Y | 108.81% | 49.55% |
3Y (ann.) | 5.38% | 7.39% |
5Y (ann.) | 21.49% | 9.69% |
10Y (ann.) | 21.49% | 9.69% |
All-time (ann.) | 21.49% | 9.69% |
Best Day | 32.07% | 8.19% |
Worst Day | -53.07% | -30.67% |
Best Month | 22.61% | 17.19% |
Worst Month | -52.11% | -29.58% |
Best Year | 100.37% | 32.22% |
Worst Year | -53.26% | -6.4% |
Avg. Drawdown | -6.05% | -6.34% |
Avg. Drawdown Days | 37 | 118 |
Recovery Factor | 1.96 | 1.36 |
Ulcer Index | 0.22 | 0.11 |
Serenity Index | 0.46 | 0.3 |
Avg. Up Month | 7.45% | 5.18% |
Avg. Down Month | -12.04% | -6.75% |
Win Days | 53.28% | 51.01% |
Win Month | 67.44% | 60.47% |
Win Quarter | 75.0% | 56.25% |
Win Year | 80.0% | 60.0% |
Beta | 1.11 | - |
Alpha | 0.28 | - |
Correlation | 42.46% | - |
Treynor Ratio | 105.72% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | -2.96 | 2.86 | -0.97 | + |
2020 | 20.05 | 85.91 | 4.28 | + |
2021 | 0.36 | 21.50 | 60.38 | + |
2022 | -6.40 | -53.26 | 8.32 | - |
2023 | 32.22 | 100.37 | 3.11 | + |
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 |