Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 30.0% |
Cumulative Return | 4.79% | -100.0% |
CAGR﹪ | 2.89% | -100.0% |
Sharpe | 0.28 | -0.92 |
Prob. Sharpe Ratio | 62.11% | 2.34% |
Smart Sharpe | 0.19 | -0.63 |
Sortino | 0.43 | -0.92 |
Smart Sortino | 0.29 | -0.63 |
Sortino/√2 | 0.3 | -0.65 |
Smart Sortino/√2 | 0.21 | -0.45 |
Omega | 1.06 | 1.06 |
Max Drawdown | -21.91% | -100.0% |
Longest DD Days | 194 | 446 |
Volatility (ann.) | 32.18% | 91.8% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.06 | 0.06 |
Calmar | 0.13 | -1.0 |
Skew | 0.61 | -17.18 |
Kurtosis | 9.62 | 297.04 |
Expected Daily | 0.02% | -100.0% |
Expected Monthly | 0.22% | -100.0% |
Expected Yearly | 1.57% | -100.0% |
Kelly Criterion | 17.2% | -274.01% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.3% | -9.85% |
Expected Shortfall (cVaR) | -3.3% | -9.85% |
Max Consecutive Wins | 7 | 6 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | 0.06 | -0.78 |
Gain/Pain (1M) | 0.5 | -0.96 |
Payoff Ratio | 1.51 | 0.14 |
Profit Factor | 1.06 | 0.22 |
Common Sense Ratio | 1.35 | 0.19 |
CPC Index | 0.8 | 0.02 |
Tail Ratio | 1.28 | 0.86 |
Outlier Win Ratio | 3.08 | 33.36 |
Outlier Loss Ratio | 3.47 | 1.35 |
MTD | 0.24% | 0.0% |
3M | -5.98% | 0.0% |
6M | -14.76% | 0.0% |
YTD | -14.84% | 0.0% |
1Y | -0.59% | 0.0% |
3Y (ann.) | 2.89% | -100.0% |
5Y (ann.) | 2.89% | -100.0% |
10Y (ann.) | 2.89% | -100.0% |
All-time (ann.) | 2.89% | -100.0% |
Best Day | 11.31% | 2.95% |
Worst Day | -10.1% | -100.0% |
Best Month | 11.56% | 1.46% |
Worst Month | -5.04% | -100.0% |
Best Year | 19.44% | 0.0% |
Worst Year | -14.84% | -100.0% |
Avg. Drawdown | -5.46% | -22.31% |
Avg. Drawdown Days | 39 | 115 |
Recovery Factor | 0.22 | -1.0 |
Ulcer Index | 0.1 | 0.84 |
Serenity Index | 0.05 | -0.05 |
Avg. Up Month | 1.01% | 1.11% |
Avg. Down Month | -0.29% | -51.59% |
Win Days | 50.18% | 54.55% |
Win Month | 57.14% | 50.0% |
Win Quarter | 75.0% | 33.33% |
Win Year | 66.67% | 0.0% |
Beta | 0.01 | - |
Alpha | 0.1 | - |
Correlation | 4.0% | - |
Treynor Ratio | 341.7% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | -0.71 | 3.02 | -4.25 | + |
2024 | -100.00 | 19.44 | -0.19 | + |
2025 | 0.00 | -14.84 | -inf | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-12-26 | 2025-07-08 | -21.91 | 194 |
2024-11-29 | 2024-12-25 | -10.99 | 26 |
2024-04-18 | 2024-10-10 | -9.84 | 175 |
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 |
2024-10-16 | 2024-11-15 | -3.80 | 30 |
2023-12-07 | 2024-01-04 | -2.56 | 28 |
2024-02-20 | 2024-03-18 | -2.11 | 27 |
2024-10-14 | 2024-10-15 | -1.77 | 1 |