Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 95.0% | 99.0% |
Cumulative Return | 1.19% | 4.0% |
CAGR﹪ | 2.51% | 8.52% |
Sharpe | 0.28 | 28.47 |
Prob. Sharpe Ratio | 56.22% | - |
Smart Sharpe | 0.14 | 14.46 |
Sortino | 0.44 | - |
Smart Sortino | 0.23 | - |
Sortino/√2 | 0.31 | - |
Smart Sortino/√2 | 0.16 | - |
Omega | 1.07 | 1.07 |
Max Drawdown | -11.82% | - |
Longest DD Days | - | - |
Volatility (ann.) | 34.89% | 0.44% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.21 | - |
Skew | 1.4 | 0.61 |
Kurtosis | 13.87 | -0.76 |
Expected Daily | 0.02% | 0.05% |
Expected Monthly | 0.2% | 0.66% |
Expected Yearly | 0.6% | 1.98% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.58% | -0.0% |
Expected Shortfall (cVaR) | -3.58% | -0.0% |
Max Consecutive Wins | 5 | 78 |
Max Consecutive Losses | 3 | 0 |
Gain/Pain Ratio | 0.07 | - |
Gain/Pain (1M) | 4.46 | - |
Payoff Ratio | - | - |
Profit Factor | 1.07 | - |
Common Sense Ratio | 0.67 | - |
CPC Index | - | - |
Tail Ratio | 0.62 | 4.54 |
Outlier Win Ratio | 4.68 | 93.42 |
Outlier Loss Ratio | 2.98 | - |
MTD | 0.0% | 0.25% |
3M | 2.85% | 1.5% |
6M | 1.19% | 4.0% |
YTD | 1.47% | 2.2% |
1Y | 1.19% | 4.0% |
3Y (ann.) | 2.51% | 8.52% |
5Y (ann.) | 2.51% | 8.52% |
10Y (ann.) | 2.51% | 8.52% |
All-time (ann.) | 2.51% | 8.52% |
Best Day | 11.31% | 0.1% |
Worst Day | -8.12% | 0.0% |
Best Month | 1.84% | 1.02% |
Worst Month | -2.08% | 0.25% |
Best Year | 1.47% | 2.2% |
Worst Year | -0.27% | 1.76% |
Avg. Drawdown | -3.22% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.1 | - |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 0.2 | - |
Avg. Up Month | 1.19% | 0.6% |
Avg. Down Month | - | - |
Win Days | 54.67% | 100.0% |
Win Month | 60.0% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | 0.72 | - |
Alpha | 0.01 | - |
Correlation | 0.9% | - |
Treynor Ratio | 1.67% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 1.76 | -0.27 | -0.16 | - |
2024 | 2.20 | 1.47 | 0.67 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-11-03 | 2023-12-06 | -11.82 | 33 |
2024-01-09 | 2024-02-19 | -4.09 | 41 |
2024-04-18 | 2024-04-25 | -3.09 | 7 |
2023-12-07 | 2024-01-04 | -2.56 | 28 |
2024-02-20 | 2024-03-18 | -2.11 | 27 |
2024-03-22 | 2024-03-28 | -0.94 | 6 |
2024-03-29 | 2024-04-08 | -0.94 | 10 |
2024-04-12 | 2024-04-17 | -0.23 | 5 |