Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | 21.74% | 25.62% |
CAGR﹪ | 7.79% | 9.09% |
Sharpe | 0.53 | 0.51 |
Prob. Sharpe Ratio | 79.61% | 79.5% |
Smart Sharpe | 0.36 | 0.35 |
Sortino | 0.76 | 0.77 |
Smart Sortino | 0.51 | 0.52 |
Sortino/√2 | 0.54 | 0.54 |
Smart Sortino/√2 | 0.36 | 0.37 |
Omega | 1.18 | 1.18 |
Max Drawdown | -20.51% | -39.65% |
Longest DD Days | 149 | 488 |
Volatility (ann.) | 17.68% | 22.55% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.38 | 0.23 |
Skew | -0.13 | 0.82 |
Kurtosis | 104.63 | 14.01 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.64% | 0.74% |
Expected Yearly | 5.04% | 5.87% |
Kelly Criterion | 2.62% | -3.08% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.79% | -2.29% |
Expected Shortfall (cVaR) | -1.79% | -2.29% |
Max Consecutive Wins | 13 | 9 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | 0.18 | 0.11 |
Gain/Pain (1M) | 2.07 | 0.46 |
Payoff Ratio | 0.87 | 0.88 |
Profit Factor | 1.18 | 1.11 |
Common Sense Ratio | 1.33 | 1.03 |
CPC Index | 0.56 | 0.51 |
Tail Ratio | 1.13 | 0.93 |
Outlier Win Ratio | 7.25 | 3.51 |
Outlier Loss Ratio | 5.58 | 3.29 |
MTD | 1.03% | 0.84% |
3M | 4.42% | 1.82% |
6M | 5.72% | -5.05% |
YTD | 3.06% | 1.72% |
1Y | 8.42% | 19.28% |
3Y (ann.) | 7.79% | 9.09% |
5Y (ann.) | 7.79% | 9.09% |
10Y (ann.) | 7.79% | 9.09% |
All-time (ann.) | 7.79% | 9.09% |
Best Day | 14.94% | 10.7% |
Worst Day | -15.05% | -8.34% |
Best Month | 5.32% | 19.77% |
Worst Month | -6.34% | -16.34% |
Best Year | 9.3% | 29.27% |
Worst Year | 0.6% | -6.4% |
Avg. Drawdown | -1.02% | -4.73% |
Avg. Drawdown Days | 11 | 50 |
Recovery Factor | 1.06 | 0.65 |
Ulcer Index | 0.02 | 0.16 |
Serenity Index | 2.88 | 0.07 |
Avg. Up Month | 1.34% | 4.73% |
Avg. Down Month | -0.98% | -3.35% |
Win Days | 54.79% | 51.82% |
Win Month | 74.19% | 61.29% |
Win Quarter | 90.91% | 72.73% |
Win Year | 100.0% | 75.0% |
Beta | -0.12 | - |
Alpha | 0.11 | - |
Correlation | -15.04% | - |
Treynor Ratio | -184.35% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.06 | 0.60 | 0.29 | - |
2022 | -6.40 | 9.30 | -1.45 | + |
2023 | 29.27 | 7.43 | 0.25 | - |
2024 | 1.72 | 3.06 | 1.78 | + |
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 |