Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 10.4% | 6.84% |
CAGR﹪ | 9.75% | 6.42% |
Sharpe | 0.79 | 62.34 |
Prob. Sharpe Ratio | 79.59% | - |
Smart Sharpe | 0.63 | 50.25 |
Sortino | 1.22 | - |
Smart Sortino | 0.99 | - |
Sortino/√2 | 0.87 | - |
Smart Sortino/√2 | 0.7 | - |
Omega | 1.15 | 1.15 |
Max Drawdown | -6.22% | - |
Longest DD Days | - | - |
Volatility (ann.) | 12.63% | 0.1% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 1.57 | - |
Skew | 0.55 | 0.7 |
Kurtosis | 3.86 | 0.88 |
Expected Daily | 0.04% | 0.02% |
Expected Monthly | 0.76% | 0.51% |
Expected Yearly | 5.07% | 3.36% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.27% | -0.01% |
Expected Shortfall (cVaR) | -1.27% | -0.01% |
Max Consecutive Wins | 8 | 272 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.15 | - |
Gain/Pain (1M) | 1.23 | - |
Payoff Ratio | - | - |
Profit Factor | 1.15 | - |
Common Sense Ratio | 1.3 | - |
CPC Index | - | - |
Tail Ratio | 1.14 | 2.29 |
Outlier Win Ratio | 1.57 | 39.51 |
Outlier Loss Ratio | 1.84 | - |
MTD | 3.51% | 0.71% |
3M | 4.49% | 2.13% |
6M | 6.92% | 3.86% |
YTD | 3.06% | 1.36% |
1Y | 13.69% | 6.5% |
3Y (ann.) | 9.75% | 6.42% |
5Y (ann.) | 9.75% | 6.42% |
10Y (ann.) | 9.75% | 6.42% |
All-time (ann.) | 9.75% | 6.42% |
Best Day | 4.04% | 0.04% |
Worst Day | -3.07% | 0.0% |
Best Month | 4.22% | 0.71% |
Worst Month | -3.68% | 0.36% |
Best Year | 7.12% | 5.4% |
Worst Year | 3.06% | 1.36% |
Avg. Drawdown | -3.34% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.67 | - |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 0.57 | - |
Avg. Up Month | 2.4% | 0.53% |
Avg. Down Month | - | - |
Win Days | 49.81% | 100.0% |
Win Month | 61.54% | 100.0% |
Win Quarter | 60.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 6.8 | - |
Alpha | -0.32 | - |
Correlation | 5.28% | - |
Treynor Ratio | 1.53% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 5.40 | 7.12 | 1.32 | + |
2022 | 1.36 | 3.06 | 2.24 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-07 | 2021-11-19 | -6.22 | 73 |
2021-02-04 | 2021-04-01 | -5.96 | 56 |
2022-01-06 | 2022-02-21 | -4.87 | 46 |
2021-04-21 | 2021-07-12 | -4.84 | 82 |
2021-11-23 | 2021-12-30 | -3.84 | 37 |
2021-07-13 | 2021-09-06 | -2.61 | 55 |
2022-02-22 | 2022-02-24 | -2.15 | 2 |
2021-04-07 | 2021-04-19 | -1.70 | 12 |
2022-02-25 | 2022-02-25 | -0.62 | 0 |
2022-01-03 | 2022-01-04 | -0.57 | 1 |