Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 91.0% | 94.0% |
Cumulative Return | 21.42% | 22.1% |
CAGR﹪ | 7.72% | 7.95% |
Sharpe | -11.35 | -19.93 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.7 | -13.51 |
Sortino | -10.47 | -12.73 |
Smart Sortino | -7.1 | -8.64 |
Sortino/√2 | -7.4 | -9.0 |
Smart Sortino/√2 | -5.02 | -6.11 |
Omega | 0.09 | 0.09 |
Max Drawdown | -20.51% | -16.65% |
Longest DD Days | 149 | 152 |
Volatility (ann.) | 17.58% | 10.06% |
R^2 | 0.45 | 0.45 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.38 | 0.48 |
Skew | -0.13 | -7.53 |
Kurtosis | 105.81 | 136.77 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.61% | 0.63% |
Expected Yearly | 4.97% | 5.12% |
Kelly Criterion | -2.93% | 14.62% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.79% | -1.01% |
Expected Shortfall (cVaR) | -1.79% | -1.01% |
Max Consecutive Wins | 13 | 28 |
Max Consecutive Losses | 5 | 9 |
Gain/Pain Ratio | 0.17 | 0.45 |
Gain/Pain (1M) | 2.04 | 1.4 |
Payoff Ratio | 0.79 | 0.55 |
Profit Factor | 1.17 | 1.45 |
Common Sense Ratio | 1.33 | 2.65 |
CPC Index | 0.51 | 0.56 |
Tail Ratio | 1.13 | 1.83 |
Outlier Win Ratio | 3.96 | 10.97 |
Outlier Loss Ratio | 3.12 | 6.08 |
MTD | 1.03% | 0.11% |
3M | 4.24% | 2.94% |
6M | 5.81% | 4.28% |
YTD | 3.06% | 1.86% |
1Y | 8.42% | 7.91% |
3Y (ann.) | 7.72% | 7.95% |
5Y (ann.) | 7.72% | 7.95% |
10Y (ann.) | 7.72% | 7.95% |
All-time (ann.) | 7.72% | 7.95% |
Best Day | 14.94% | 5.78% |
Worst Day | -15.05% | -10.14% |
Best Month | 5.32% | 7.03% |
Worst Month | -6.34% | -8.62% |
Best Year | 9.3% | 9.82% |
Worst Year | 0.34% | 0.8% |
Avg. Drawdown | -1.01% | -0.74% |
Avg. Drawdown Days | 11 | 14 |
Recovery Factor | 1.04 | 1.33 |
Ulcer Index | 0.02 | 0.02 |
Serenity Index | -72.68 | -42.14 |
Avg. Up Month | 1.51% | 1.65% |
Avg. Down Month | -2.2% | -2.57% |
Win Days | 54.64% | 69.65% |
Win Month | 74.19% | 75.0% |
Win Quarter | 90.91% | 90.91% |
Win Year | 100.0% | 100.0% |
Beta | 1.17 | - |
Alpha | -0.01 | - |
Correlation | 66.82% | - |
Treynor Ratio | -580.84% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.80 | 0.34 | 0.42 | - |
2022 | 9.82 | 9.30 | 0.95 | - |
2023 | 8.29 | 7.43 | 0.90 | - |
2024 | 1.86 | 3.06 | 1.65 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-10 | 2022-06-08 | -20.51 | 149 |
2022-09-19 | 2022-10-18 | -6.58 | 29 |
2022-06-21 | 2022-08-08 | -4.44 | 48 |
2021-09-15 | 2022-01-03 | -3.02 | 110 |
2023-08-14 | 2023-11-13 | -2.37 | 91 |
2022-06-16 | 2022-06-20 | -2.21 | 4 |
2022-06-09 | 2022-06-15 | -2.14 | 6 |
2024-02-22 | 2024-02-29 | -1.36 | 7 |
2021-08-19 | 2021-08-20 | -1.33 | 1 |
2024-01-08 | 2024-02-14 | -1.32 | 37 |