Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 95.0% | 100.0% |
Cumulative Return | 6.38% | 4.45% |
CAGR﹪ | 5.43% | 3.79% |
Sharpe | 1.32 | 12.71 |
Prob. Sharpe Ratio | 89.3% | 100.0% |
Smart Sharpe | 1.2 | 11.52 |
Sortino | 1.66 | 22.01 |
Smart Sortino | 1.51 | 19.95 |
Sortino/√2 | 1.17 | 15.56 |
Smart Sortino/√2 | 1.06 | 14.11 |
Omega | 1.35 | 1.35 |
Max Drawdown | -4.56% | -0.84% |
Longest DD Days | 57 | 140 |
Volatility (ann.) | 4.01% | 0.29% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.03 | 0.03 |
Calmar | 1.19 | 4.5 |
Skew | -3.34 | -1.76 |
Kurtosis | 34.18 | 5.11 |
Expected Daily | 0.02% | 0.01% |
Expected Monthly | 0.41% | 0.29% |
Expected Yearly | 3.14% | 2.2% |
Kelly Criterion | 45.57% | 76.82% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.39% | -0.02% |
Expected Shortfall (cVaR) | -0.39% | -0.02% |
Max Consecutive Wins | 5 | 270 |
Max Consecutive Losses | 5 | 28 |
Gain/Pain Ratio | 0.35 | 5.14 |
Gain/Pain (1M) | 1.36 | 5.14 |
Payoff Ratio | 2.61 | 0.68 |
Profit Factor | 1.35 | 6.14 |
Common Sense Ratio | 1.32 | 10.8 |
CPC Index | 2.14 | 3.79 |
Tail Ratio | 0.98 | 1.76 |
Outlier Win Ratio | 1.89 | 12.59 |
Outlier Loss Ratio | 1.9 | 10.06 |
MTD | -1.27% | 0.19% |
3M | -2.38% | 1.23% |
6M | 0.72% | 2.32% |
YTD | 1.99% | 3.9% |
1Y | 6.08% | 5.3% |
3Y (ann.) | 5.43% | 3.79% |
5Y (ann.) | 5.43% | 3.79% |
10Y (ann.) | 5.43% | 3.79% |
All-time (ann.) | 5.43% | 3.79% |
Best Day | 1.43% | 0.04% |
Worst Day | -2.21% | -0.07% |
Best Month | 3.13% | 0.84% |
Worst Month | -2.04% | -0.52% |
Best Year | 4.31% | 3.9% |
Worst Year | 1.99% | 0.53% |
Avg. Drawdown | -0.34% | -0.84% |
Avg. Drawdown Days | 8 | 140 |
Recovery Factor | 1.4 | 5.28 |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | 1.17 | 0.33 |
Avg. Up Month | 1.03% | 0.47% |
Avg. Down Month | - | - |
Win Days | 60.64% | 90.6% |
Win Month | 73.33% | 86.67% |
Win Quarter | 60.0% | 80.0% |
Win Year | 100.0% | 100.0% |
Beta | -0.36 | - |
Alpha | 0.07 | - |
Correlation | -2.6% | - |
Treynor Ratio | -17.68% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 0.53 | 4.31 | 8.12 | + |
2023 | 3.90 | 1.99 | 0.51 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-09-19 | 2022-11-15 | -4.56 | 57 |
2023-08-09 | 2023-09-22 | -2.82 | 44 |
2023-02-06 | 2023-03-10 | -0.87 | 32 |
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 |
2022-09-06 | 2022-09-09 | -0.32 | 3 |
2023-05-10 | 2023-05-11 | -0.29 | 1 |
2022-08-18 | 2022-08-29 | -0.26 | 11 |
2023-06-14 | 2023-06-22 | -0.23 | 8 |