Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 99.0% |
Cumulative Return | 6.46% | 6.37% |
CAGR﹪ | 15.35% | 15.13% |
Sharpe | -5.04 | -7.61 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.5 | -3.78 |
Sortino | -6.4 | -8.3 |
Smart Sortino | -3.18 | -4.12 |
Sortino/√2 | -4.53 | -5.87 |
Smart Sortino/√2 | -2.25 | -2.92 |
Omega | 0.3 | 0.3 |
Max Drawdown | -8.92% | -9.17% |
Longest DD Days | 41 | 44 |
Volatility (ann.) | 35.91% | 24.26% |
R^2 | 0.31 | 0.31 |
Information Ratio | 0.01 | 0.01 |
Calmar | 1.72 | 1.65 |
Skew | 1.31 | 0.54 |
Kurtosis | 13.17 | 19.09 |
Expected Daily | 0.09% | 0.08% |
Expected Monthly | 1.05% | 1.03% |
Expected Yearly | 3.18% | 3.14% |
Kelly Criterion | 18.59% | 15.58% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.61% | -2.42% |
Expected Shortfall (cVaR) | -3.61% | -2.42% |
Max Consecutive Wins | 5 | 6 |
Max Consecutive Losses | 3 | 5 |
Gain/Pain Ratio | 0.22 | 0.29 |
Gain/Pain (1M) | 43.13 | - |
Payoff Ratio | 1.07 | 0.97 |
Profit Factor | 1.22 | 1.29 |
Common Sense Ratio | 0.78 | 1.76 |
CPC Index | 0.76 | 0.73 |
Tail Ratio | 0.64 | 1.37 |
Outlier Win Ratio | 6.74 | 9.36 |
Outlier Loss Ratio | 4.2 | 6.51 |
MTD | 1.18% | -0.01% |
3M | 4.55% | 4.52% |
6M | 6.46% | 6.37% |
YTD | 2.67% | 2.95% |
1Y | 6.46% | 6.37% |
3Y (ann.) | 15.35% | 15.13% |
5Y (ann.) | 15.35% | 15.13% |
10Y (ann.) | 15.35% | 15.13% |
All-time (ann.) | 15.35% | 15.13% |
Best Day | 11.31% | 8.29% |
Worst Day | -8.12% | -7.54% |
Best Month | 1.84% | 2.03% |
Worst Month | -0.25% | -0.01% |
Best Year | 3.69% | 3.33% |
Worst Year | 2.67% | 2.95% |
Avg. Drawdown | -3.32% | -2.93% |
Avg. Drawdown Days | 14 | 18 |
Recovery Factor | 0.72 | 0.7 |
Ulcer Index | 0.02 | 0.02 |
Serenity Index | -171.36 | -95.7 |
Avg. Up Month | 1.35% | 1.48% |
Avg. Down Month | - | - |
Win Days | 57.97% | 58.33% |
Win Month | 83.33% | 83.33% |
Win Quarter | 100.0% | 66.67% |
Win Year | 100.0% | 100.0% |
Beta | 0.83 | - |
Alpha | 0.08 | - |
Correlation | 55.98% | - |
Treynor Ratio | -836.99% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 3.33 | 3.69 | 1.11 | + |
2024 | 2.95 | 2.67 | 0.91 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-11-21 | 2023-11-24 | -8.92 | 3 |
2023-11-27 | 2023-12-01 | -8.12 | 4 |
2024-01-09 | 2024-02-19 | -4.09 | 41 |
2023-12-07 | 2024-01-04 | -2.56 | 28 |
2024-02-20 | 2024-03-18 | -2.11 | 27 |
2024-04-18 | 2024-04-24 | -1.95 | 6 |
2024-03-29 | 2024-04-08 | -0.94 | 10 |
2024-03-22 | 2024-03-28 | -0.94 | 6 |
2024-04-12 | 2024-04-17 | -0.23 | 5 |