Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 28.5% | 22.83% |
CAGR﹪ | 9.29% | 7.56% |
Sharpe | 2.3 | 23.2 |
Prob. Sharpe Ratio | 99.97% | 100.0% |
Smart Sharpe | 2.21 | 22.26 |
Sortino | 3.39 | 66.87 |
Smart Sortino | 3.26 | 64.16 |
Sortino/√2 | 2.4 | 47.28 |
Smart Sortino/√2 | 2.3 | 45.37 |
Omega | 1.55 | 1.55 |
Max Drawdown | -4.56% | -0.84% |
Longest DD Days | 184 | 140 |
Volatility (ann.) | 3.84% | 0.31% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.03 | 0.03 |
Calmar | 2.04 | 8.96 |
Skew | -1.19 | -0.93 |
Kurtosis | 19.19 | 3.45 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.72% | 0.59% |
Expected Yearly | 6.47% | 5.27% |
Kelly Criterion | 46.89% | 92.66% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.36% | -0.0% |
Expected Shortfall (cVaR) | -0.36% | -0.0% |
Max Consecutive Wins | 10 | 693 |
Max Consecutive Losses | 7 | 28 |
Gain/Pain Ratio | 0.55 | 24.28 |
Gain/Pain (1M) | 2.93 | 24.28 |
Payoff Ratio | 3.18 | 1.12 |
Profit Factor | 1.55 | 25.28 |
Common Sense Ratio | 1.95 | 680.36 |
CPC Index | 2.94 | 27.29 |
Tail Ratio | 1.26 | 26.91 |
Outlier Win Ratio | 2.21 | 11.51 |
Outlier Loss Ratio | 1.65 | 8.92 |
MTD | 1.2% | 0.43% |
3M | 6.61% | 2.19% |
6M | 15.61% | 5.95% |
YTD | 10.39% | 3.86% |
1Y | 15.61% | 10.63% |
3Y (ann.) | 9.29% | 7.56% |
5Y (ann.) | 9.29% | 7.56% |
10Y (ann.) | 9.29% | 7.56% |
All-time (ann.) | 9.29% | 7.56% |
Best Day | 1.43% | 0.07% |
Worst Day | -2.21% | -0.07% |
Best Month | 5.56% | 1.43% |
Worst Month | -2.04% | -0.52% |
Best Year | 10.39% | 9.51% |
Worst Year | 3.68% | 0.53% |
Avg. Drawdown | -0.36% | -0.84% |
Avg. Drawdown Days | 10 | 140 |
Recovery Factor | 6.24 | 27.06 |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | 2.88 | 4.46 |
Avg. Up Month | 1.3% | 0.64% |
Avg. Down Month | - | - |
Win Days | 59.6% | 96.12% |
Win Month | 77.14% | 94.29% |
Win Quarter | 83.33% | 91.67% |
Win Year | 100.0% | 100.0% |
Beta | 0.45 | - |
Alpha | 0.06 | - |
Correlation | 3.63% | - |
Treynor Ratio | 63.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 0.53 | 4.31 | 8.12 | + |
2023 | 7.42 | 3.68 | 0.50 | - |
2024 | 9.51 | 7.65 | 0.80 | - |
2025 | 3.86 | 10.39 | 2.69 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-09-19 | 2022-11-15 | -4.56 | 57 |
2023-08-09 | 2024-02-09 | -3.85 | 184 |
2024-10-09 | 2024-12-24 | -2.81 | 76 |
2024-05-13 | 2024-07-24 | -1.67 | 72 |
2024-08-15 | 2024-10-08 | -1.11 | 54 |
2025-04-04 | 2025-04-16 | -1.10 | 12 |
2023-02-06 | 2023-03-10 | -0.87 | 32 |
2024-03-13 | 2024-03-29 | -0.64 | 16 |
2025-05-05 | 2025-05-07 | -0.47 | 2 |
2025-01-27 | 2025-01-30 | -0.46 | 3 |