Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 96.0% |
Cumulative Return | 9.68% | 9.79% |
CAGR﹪ | 5.49% | 5.55% |
Sharpe | -54.69 | -62.35 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -49.76 | -56.72 |
Sortino | -15.26 | -15.39 |
Smart Sortino | -13.88 | -14.0 |
Sortino/√2 | -10.79 | -10.88 |
Smart Sortino/√2 | -9.81 | -9.9 |
Omega | 0.0 | 0.0 |
Max Drawdown | -4.56% | -3.92% |
Longest DD Days | 184 | 188 |
Volatility (ann.) | 3.72% | 3.26% |
R^2 | 0.68 | 0.68 |
Information Ratio | -0.0 | -0.0 |
Calmar | 1.2 | 1.42 |
Skew | -2.77 | -3.62 |
Kurtosis | 31.32 | 40.46 |
Expected Daily | 0.02% | 0.02% |
Expected Monthly | 0.44% | 0.45% |
Expected Yearly | 3.13% | 3.16% |
Kelly Criterion | 9.73% | 15.3% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.36% | -0.32% |
Expected Shortfall (cVaR) | -0.36% | -0.32% |
Max Consecutive Wins | 6 | 8 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | 0.35 | 0.5 |
Gain/Pain (1M) | 1.7 | 1.95 |
Payoff Ratio | 0.82 | 0.87 |
Profit Factor | 1.35 | 1.5 |
Common Sense Ratio | 1.43 | 1.98 |
CPC Index | 0.66 | 0.79 |
Tail Ratio | 1.06 | 1.33 |
Outlier Win Ratio | 3.88 | 4.96 |
Outlier Loss Ratio | 2.9 | 4.04 |
MTD | 0.45% | 0.42% |
3M | 2.14% | 1.88% |
6M | 4.81% | 4.76% |
YTD | 2.52% | 2.56% |
1Y | 3.57% | 3.63% |
3Y (ann.) | 5.49% | 5.55% |
5Y (ann.) | 5.49% | 5.55% |
10Y (ann.) | 5.49% | 5.55% |
All-time (ann.) | 5.49% | 5.55% |
Best Day | 1.43% | 0.99% |
Worst Day | -2.21% | -2.17% |
Best Month | 3.13% | 3.05% |
Worst Month | -2.04% | -1.65% |
Best Year | 3.68% | 3.6% |
Worst Year | 2.52% | 2.56% |
Avg. Drawdown | -0.34% | -0.24% |
Avg. Drawdown Days | 10 | 9 |
Recovery Factor | 2.12 | 2.5 |
Ulcer Index | 0.01 | 0.01 |
Serenity Index | -52.1 | -52.6 |
Avg. Up Month | 0.93% | 0.88% |
Avg. Down Month | -1.33% | -1.22% |
Win Days | 59.38% | 60.52% |
Win Month | 76.19% | 80.95% |
Win Quarter | 75.0% | 75.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.94 | - |
Alpha | 0.0 | - |
Correlation | 82.54% | - |
Treynor Ratio | -733.54% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 3.34 | 3.18 | 0.95 | - |
2023 | 3.60 | 3.68 | 1.02 | + |
2024 | 2.56 | 2.52 | 0.99 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-09-19 | 2022-11-15 | -4.56 | 57 |
2023-08-09 | 2024-02-09 | -3.85 | 184 |
2023-02-06 | 2023-03-10 | -0.87 | 32 |
2024-03-13 | 2024-03-29 | -0.64 | 16 |
2023-06-28 | 2023-07-26 | -0.46 | 28 |
2023-01-09 | 2023-01-19 | -0.40 | 10 |
2022-12-07 | 2022-12-12 | -0.36 | 5 |
2024-02-20 | 2024-02-28 | -0.36 | 8 |
2022-09-06 | 2022-09-09 | -0.32 | 3 |
2023-05-10 | 2023-05-11 | -0.29 | 1 |