Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 22.06% | 40.01% |
CAGR﹪ | 6.47% | 11.16% |
Sharpe | 0.48 | 11.46 |
Prob. Sharpe Ratio | 79.6% | 99.21% |
Smart Sharpe | 0.32 | 7.75 |
Sortino | 0.68 | - |
Smart Sortino | 0.46 | - |
Sortino/√2 | 0.48 | - |
Smart Sortino/√2 | 0.33 | - |
Omega | 1.15 | 1.15 |
Max Drawdown | -20.51% | - |
Longest DD Days | - | - |
Volatility (ann.) | 16.27% | 0.95% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.32 | - |
Skew | -0.12 | 24.82 |
Kurtosis | 119.03 | 665.16 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.51% | 0.87% |
Expected Yearly | 5.11% | 8.78% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.66% | -0.06% |
Expected Shortfall (cVaR) | -1.66% | -0.06% |
Max Consecutive Wins | 13 | 778 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.15 | - |
Gain/Pain (1M) | 1.67 | - |
Payoff Ratio | - | - |
Profit Factor | 1.15 | - |
Common Sense Ratio | 1.2 | - |
CPC Index | - | - |
Tail Ratio | 1.04 | 2.93 |
Outlier Win Ratio | 2.4 | 22.47 |
Outlier Loss Ratio | 2.03 | - |
MTD | -0.77% | 1.65% |
3M | -0.49% | 6.22% |
6M | -0.12% | 10.36% |
YTD | 3.02% | 14.5% |
1Y | 5.31% | 18.4% |
3Y (ann.) | 7.06% | 11.5% |
5Y (ann.) | 6.47% | 11.16% |
10Y (ann.) | 6.47% | 11.16% |
All-time (ann.) | 6.47% | 11.16% |
Best Day | 14.94% | 1.65% |
Worst Day | -15.05% | 0.0% |
Best Month | 5.32% | 1.65% |
Worst Month | -6.34% | 0.31% |
Best Year | 9.3% | 14.5% |
Worst Year | 0.9% | 3.19% |
Avg. Drawdown | -1.02% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.08 | - |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 3.11 | - |
Avg. Up Month | 1.34% | 0.85% |
Avg. Down Month | - | - |
Win Days | 54.21% | 100.0% |
Win Month | 71.79% | 100.0% |
Win Quarter | 85.71% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -0.45 | - |
Alpha | 0.13 | - |
Correlation | -2.62% | - |
Treynor Ratio | -49.2% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.19 | 0.90 | 0.28 | - |
2022 | 7.72 | 9.30 | 1.20 | + |
2023 | 10.00 | 7.43 | 0.74 | - |
2024 | 14.50 | 3.02 | 0.21 | - |
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 |
2024-08-26 | 2024-10-01 | -2.78 | 36 |
2024-05-10 | 2024-07-02 | -2.40 | 53 |
2023-08-14 | 2023-11-21 | -2.37 | 99 |
2022-06-16 | 2022-06-20 | -2.21 | 4 |
2022-06-09 | 2022-06-15 | -2.14 | 6 |
2024-07-09 | 2024-08-09 | -1.67 | 31 |