Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 93.0% | 96.0% |
Cumulative Return | 21.42% | 21.53% |
CAGR﹪ | 7.73% | 7.76% |
Sharpe | -11.26 | -21.18 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.6 | -14.3 |
Sortino | -10.42 | -13.02 |
Smart Sortino | -7.03 | -8.79 |
Sortino/√2 | -7.37 | -9.21 |
Smart Sortino/√2 | -4.97 | -6.22 |
Omega | 0.09 | 0.09 |
Max Drawdown | -20.51% | -15.67% |
Longest DD Days | 149 | 153 |
Volatility (ann.) | 17.72% | 9.47% |
R^2 | 0.59 | 0.59 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.38 | 0.5 |
Skew | -0.14 | -8.16 |
Kurtosis | 104.33 | 186.51 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.63% | 0.63% |
Expected Yearly | 4.97% | 5.0% |
Kelly Criterion | 4.3% | 11.27% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.8% | -0.95% |
Expected Shortfall (cVaR) | -1.8% | -0.95% |
Max Consecutive Wins | 13 | 15 |
Max Consecutive Losses | 5 | 8 |
Gain/Pain Ratio | 0.18 | 0.4 |
Gain/Pain (1M) | 2.04 | 1.25 |
Payoff Ratio | 0.9 | 0.78 |
Profit Factor | 1.18 | 1.4 |
Common Sense Ratio | 1.32 | 2.2 |
CPC Index | 0.58 | 0.67 |
Tail Ratio | 1.12 | 1.57 |
Outlier Win Ratio | 3.74 | 8.7 |
Outlier Loss Ratio | 3.23 | 7.43 |
MTD | 1.03% | 0.22% |
3M | 4.42% | 3.74% |
6M | 5.72% | 5.24% |
YTD | 3.06% | 2.19% |
1Y | 8.42% | 8.52% |
3Y (ann.) | 7.73% | 7.76% |
5Y (ann.) | 7.73% | 7.76% |
10Y (ann.) | 7.73% | 7.76% |
All-time (ann.) | 7.73% | 7.76% |
Best Day | 14.94% | 5.92% |
Worst Day | -15.05% | -10.75% |
Best Month | 5.32% | 5.51% |
Worst Month | -6.34% | -8.92% |
Best Year | 9.3% | 9.34% |
Worst Year | 0.34% | 0.22% |
Avg. Drawdown | -1.01% | -0.51% |
Avg. Drawdown Days | 11 | 9 |
Recovery Factor | 1.04 | 1.37 |
Ulcer Index | 0.02 | 0.02 |
Serenity Index | -89.56 | -63.5 |
Avg. Up Month | 1.51% | 1.62% |
Avg. Down Month | -1.94% | -2.24% |
Win Days | 54.73% | 61.16% |
Win Month | 74.19% | 74.19% |
Win Quarter | 90.91% | 72.73% |
Win Year | 100.0% | 100.0% |
Beta | 1.43 | - |
Alpha | -0.03 | - |
Correlation | 76.67% | - |
Treynor Ratio | -472.88% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.22 | 0.34 | 1.53 | + |
2022 | 9.34 | 9.30 | 1.00 | - |
2023 | 8.53 | 7.43 | 0.87 | - |
2024 | 2.19 | 3.06 | 1.40 | + |
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 |