Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 93.0% | 100.0% |
Cumulative Return | 23.03% | 9.48% |
CAGR﹪ | 7.89% | 3.38% |
Sharpe | -11.46 | -5.98 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.72 | -4.03 |
Sortino | -10.5 | -6.17 |
Smart Sortino | -7.08 | -4.16 |
Sortino/√2 | -7.43 | -4.37 |
Smart Sortino/√2 | -5.01 | -2.94 |
Omega | 0.08 | 0.08 |
Max Drawdown | -20.51% | -53.53% |
Longest DD Days | 149 | 918 |
Volatility (ann.) | 17.4% | 33.34% |
R^2 | 0.35 | 0.35 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.38 | 0.06 |
Skew | -0.13 | -5.22 |
Kurtosis | 106.6 | 108.75 |
Expected Daily | 0.03% | 0.01% |
Expected Monthly | 0.65% | 0.28% |
Expected Yearly | 5.32% | 2.29% |
Kelly Criterion | -0.4% | -7.6% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.77% | -3.42% |
Expected Shortfall (cVaR) | -1.77% | -3.42% |
Max Consecutive Wins | 13 | 9 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | 0.18 | 0.08 |
Gain/Pain (1M) | 2.16 | 0.35 |
Payoff Ratio | 0.82 | 0.68 |
Profit Factor | 1.18 | 1.08 |
Common Sense Ratio | 1.33 | 1.09 |
CPC Index | 0.53 | 0.41 |
Tail Ratio | 1.13 | 1.01 |
Outlier Win Ratio | 6.47 | 2.94 |
Outlier Loss Ratio | 7.45 | 3.32 |
MTD | 0.98% | 3.52% |
3M | 3.54% | 9.41% |
6M | 7.02% | 8.12% |
YTD | 4.15% | 12.17% |
1Y | 8.85% | 40.96% |
3Y (ann.) | 7.89% | 3.38% |
5Y (ann.) | 7.89% | 3.38% |
10Y (ann.) | 7.89% | 3.38% |
All-time (ann.) | 7.89% | 3.38% |
Best Day | 14.94% | 20.04% |
Worst Day | -15.05% | -33.28% |
Best Month | 5.32% | 15.56% |
Worst Month | -6.34% | -30.02% |
Best Year | 9.3% | 53.84% |
Worst Year | 0.6% | -37.26% |
Avg. Drawdown | -1.03% | -6.37% |
Avg. Drawdown Days | 11 | 97 |
Recovery Factor | 1.12 | 0.18 |
Ulcer Index | 0.02 | 0.3 |
Serenity Index | -91.72 | -0.9 |
Avg. Up Month | 1.17% | 5.19% |
Avg. Down Month | -2.86% | -15.2% |
Win Days | 54.65% | 56.41% |
Win Month | 75.0% | 65.62% |
Win Quarter | 91.67% | 66.67% |
Win Year | 100.0% | 75.0% |
Beta | 0.31 | - |
Alpha | 0.06 | - |
Correlation | 58.74% | - |
Treynor Ratio | -2208.15% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.12 | 0.60 | 0.54 | - |
2022 | -37.26 | 9.30 | -0.25 | + |
2023 | 53.84 | 7.43 | 0.14 | - |
2024 | 12.17 | 4.15 | 0.34 | - |
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 |
2024-04-02 | 2024-04-08 | -1.42 | 6 |
2024-02-22 | 2024-02-29 | -1.36 | 7 |
2021-08-19 | 2021-08-20 | -1.33 | 1 |