Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 94.0% | 96.0% |
Cumulative Return | 23.05% | 25.1% |
CAGR﹪ | 6.84% | 7.41% |
Sharpe | 0.09 | 0.11 |
Prob. Sharpe Ratio | 14.66% | 38.42% |
Smart Sharpe | 0.06 | 0.08 |
Sortino | 0.12 | 0.14 |
Smart Sortino | 0.08 | 0.09 |
Sortino/√2 | 0.09 | 0.1 |
Smart Sortino/√2 | 0.06 | 0.07 |
Omega | 1.03 | 1.03 |
Max Drawdown | -20.51% | -15.67% |
Longest DD Days | 149 | 153 |
Volatility (ann.) | 16.38% | 8.67% |
R^2 | 0.57 | 0.57 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.33 | 0.47 |
Skew | -0.13 | -8.72 |
Kurtosis | 117.87 | 217.94 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.56% | 0.61% |
Expected Yearly | 5.32% | 5.76% |
Kelly Criterion | 6.17% | 12.94% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.66% | -0.87% |
Expected Shortfall (cVaR) | -1.66% | -0.87% |
Max Consecutive Wins | 13 | 15 |
Max Consecutive Losses | 6 | 8 |
Gain/Pain Ratio | 0.16 | 0.4 |
Gain/Pain (1M) | 1.91 | 1.39 |
Payoff Ratio | 0.95 | 0.8 |
Profit Factor | 1.16 | 1.4 |
Common Sense Ratio | 1.19 | 2.1 |
CPC Index | 0.6 | 0.69 |
Tail Ratio | 1.02 | 1.5 |
Outlier Win Ratio | 3.69 | 8.77 |
Outlier Loss Ratio | 3.05 | 6.9 |
MTD | -0.28% | -0.26% |
3M | 1.26% | 1.73% |
6M | 2.05% | 2.92% |
YTD | 4.44% | 5.2% |
1Y | 6.86% | 8.07% |
3Y (ann.) | 7.38% | 8.0% |
5Y (ann.) | 6.84% | 7.41% |
10Y (ann.) | 6.84% | 7.41% |
All-time (ann.) | 6.84% | 7.41% |
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 | -1.04% | -0.49% |
Avg. Drawdown Days | 11 | 9 |
Recovery Factor | 1.12 | 1.6 |
Ulcer Index | 0.02 | 0.02 |
Serenity Index | 2.26 | 1.86 |
Avg. Up Month | 1.4% | 1.5% |
Avg. Down Month | -1.69% | -1.79% |
Win Days | 54.2% | 61.26% |
Win Month | 72.97% | 72.97% |
Win Quarter | 92.31% | 76.92% |
Win Year | 100.0% | 100.0% |
Beta | 1.43 | - |
Alpha | -0.03 | - |
Correlation | 75.47% | - |
Treynor Ratio | 11.26% | - |
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 | 5.20 | 4.44 | 0.86 | - |
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 |
2024-08-15 | 2024-09-26 | -2.78 | 42 |
2024-05-10 | 2024-07-02 | -2.40 | 53 |
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 |
2024-07-09 | 2024-08-09 | -1.67 | 31 |