Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 99.83% | 100.5% |
CAGR﹪ | 55.79% | 56.12% |
Sharpe | -8.3 | -10.36 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.53 | -9.4 |
Sortino | -8.04 | -9.25 |
Smart Sortino | -7.3 | -8.39 |
Sortino/√2 | -5.69 | -6.54 |
Smart Sortino/√2 | -5.16 | -5.93 |
Omega | 0.25 | 0.25 |
Max Drawdown | -10.09% | -9.76% |
Longest DD Days | 204 | 204 |
Volatility (ann.) | 19.64% | 15.77% |
R^2 | 0.52 | 0.52 |
Information Ratio | 0.0 | 0.0 |
Calmar | 5.53 | 5.75 |
Skew | -0.21 | -0.15 |
Kurtosis | 1.88 | 1.58 |
Expected Daily | 0.17% | 0.17% |
Expected Monthly | 3.71% | 3.73% |
Expected Yearly | 25.96% | 26.1% |
Kelly Criterion | 16.81% | 20.93% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.85% | -1.45% |
Expected Shortfall (cVaR) | -1.85% | -1.45% |
Max Consecutive Wins | 10 | 10 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | 0.49 | 0.62 |
Gain/Pain (1M) | 13.44 | 8.41 |
Payoff Ratio | 0.98 | 1.11 |
Profit Factor | 1.49 | 1.62 |
Common Sense Ratio | 1.73 | 2.0 |
CPC Index | 0.86 | 1.05 |
Tail Ratio | 1.17 | 1.23 |
Outlier Win Ratio | 3.05 | 3.55 |
Outlier Loss Ratio | 3.06 | 4.09 |
MTD | 10.86% | 11.75% |
3M | 11.86% | 12.5% |
6M | 13.47% | 15.0% |
YTD | 11.86% | 12.55% |
1Y | 36.36% | 37.18% |
3Y (ann.) | 55.79% | 56.12% |
5Y (ann.) | 55.79% | 56.12% |
10Y (ann.) | 55.79% | 56.12% |
All-time (ann.) | 55.79% | 56.12% |
Best Day | 5.06% | 3.78% |
Worst Day | -5.0% | -3.61% |
Best Month | 17.22% | 18.04% |
Worst Month | -1.9% | -2.55% |
Best Year | 44.49% | 46.25% |
Worst Year | 11.86% | 12.55% |
Avg. Drawdown | -2.27% | -1.41% |
Avg. Drawdown Days | 15 | 11 |
Recovery Factor | 9.89 | 10.3 |
Ulcer Index | 0.04 | 0.03 |
Serenity Index | -30.11 | -26.43 |
Avg. Up Month | 5.92% | 6.34% |
Avg. Down Month | -1.16% | -1.3% |
Win Days | 58.76% | 58.44% |
Win Month | 73.68% | 68.42% |
Win Quarter | 100.0% | 85.71% |
Win Year | 100.0% | 100.0% |
Beta | 0.9 | - |
Alpha | 0.05 | - |
Correlation | 71.94% | - |
Treynor Ratio | -670.07% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 21.81 | 23.63 | 1.08 | + |
2023 | 46.25 | 44.49 | 0.96 | - |
2024 | 12.55 | 11.86 | 0.95 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-14 | 2024-03-05 | -10.09 | 204 |
2022-10-13 | 2022-12-01 | -10.04 | 49 |
2022-09-13 | 2022-10-04 | -8.68 | 21 |
2023-04-12 | 2023-06-29 | -5.97 | 78 |
2023-01-09 | 2023-01-24 | -4.18 | 15 |
2023-03-21 | 2023-03-31 | -3.65 | 10 |
2022-12-22 | 2022-12-28 | -3.63 | 6 |
2023-02-03 | 2023-02-10 | -3.09 | 7 |
2023-07-20 | 2023-07-31 | -2.05 | 11 |
2022-12-29 | 2023-01-03 | -1.84 | 5 |