Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 93.0% | 100.0% |
Cumulative Return | 22.11% | 18.34% |
CAGR﹪ | 7.86% | 6.58% |
Sharpe | 0.54 | 17.33 |
Prob. Sharpe Ratio | 79.9% | 100.0% |
Smart Sharpe | 0.36 | 11.67 |
Sortino | 0.77 | 66.94 |
Smart Sortino | 0.52 | 45.07 |
Sortino/√2 | 0.54 | 47.33 |
Smart Sortino/√2 | 0.36 | 31.87 |
Omega | 1.18 | 1.18 |
Max Drawdown | -20.51% | -1.25% |
Longest DD Days | 149 | 209 |
Volatility (ann.) | 17.61% | 0.38% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.38 | 5.25 |
Skew | -0.14 | 0.19 |
Kurtosis | 105.46 | 0.91 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.63% | 0.53% |
Expected Yearly | 5.12% | 4.3% |
Kelly Criterion | -17.55% | 83.5% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.79% | -0.01% |
Expected Shortfall (cVaR) | -1.79% | -0.01% |
Max Consecutive Wins | 13 | 392 |
Max Consecutive Losses | 5 | 65 |
Gain/Pain Ratio | 0.18 | 13.34 |
Gain/Pain (1M) | 2.09 | 13.34 |
Payoff Ratio | 0.62 | 1.61 |
Profit Factor | 1.18 | 14.34 |
Common Sense Ratio | 1.34 | 49.83 |
CPC Index | 0.4 | 20.7 |
Tail Ratio | 1.13 | 3.47 |
Outlier Win Ratio | 2.55 | 34.09 |
Outlier Loss Ratio | 2.29 | 59.66 |
MTD | 1.03% | 0.37% |
3M | 4.42% | 2.28% |
6M | 5.72% | 5.1% |
YTD | 3.06% | 1.93% |
1Y | 8.42% | 7.86% |
3Y (ann.) | 7.86% | 6.58% |
5Y (ann.) | 7.86% | 6.58% |
10Y (ann.) | 7.86% | 6.58% |
All-time (ann.) | 7.86% | 6.58% |
Best Day | 14.94% | 0.1% |
Worst Day | -15.05% | -0.02% |
Best Month | 5.32% | 1.56% |
Worst Month | -6.34% | -0.52% |
Best Year | 9.3% | 7.42% |
Worst Year | 0.9% | 1.93% |
Avg. Drawdown | -1.0% | -1.25% |
Avg. Drawdown Days | 11 | 209 |
Recovery Factor | 1.08 | 14.62 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 2.94 | 1.36 |
Avg. Up Month | 1.24% | 0.59% |
Avg. Down Month | - | - |
Win Days | 55.01% | 89.83% |
Win Month | 75.0% | 90.62% |
Win Quarter | 90.91% | 90.91% |
Win Year | 100.0% | 100.0% |
Beta | -0.76 | - |
Alpha | 0.14 | - |
Correlation | -1.65% | - |
Treynor Ratio | -29.16% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.93 | 0.90 | 0.23 | - |
2022 | 4.01 | 9.30 | 2.32 | + |
2023 | 7.42 | 7.43 | 1.00 | + |
2024 | 1.93 | 3.06 | 1.59 | + |
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 | 2023-11-21 | -2.37 | 99 |
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 |