Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 93.0% | 100.0% |
Cumulative Return | 22.34% | 25.65% |
CAGR﹪ | 7.68% | 8.74% |
Sharpe | 0.53 | 0.5 |
Prob. Sharpe Ratio | 79.99% | 79.49% |
Smart Sharpe | 0.36 | 0.34 |
Sortino | 0.76 | 0.75 |
Smart Sortino | 0.51 | 0.51 |
Sortino/√2 | 0.53 | 0.53 |
Smart Sortino/√2 | 0.36 | 0.36 |
Omega | 1.17 | 1.17 |
Max Drawdown | -20.51% | -39.65% |
Longest DD Days | 149 | 488 |
Volatility (ann.) | 17.41% | 22.11% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.37 | 0.22 |
Skew | -0.13 | 0.84 |
Kurtosis | 106.52 | 14.61 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.63% | 0.72% |
Expected Yearly | 5.17% | 5.87% |
Kelly Criterion | 2.85% | -3.32% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.77% | -2.25% |
Expected Shortfall (cVaR) | -1.77% | -2.25% |
Max Consecutive Wins | 13 | 9 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | 0.17 | 0.11 |
Gain/Pain (1M) | 2.11 | 0.46 |
Payoff Ratio | 0.88 | 0.88 |
Profit Factor | 1.17 | 1.11 |
Common Sense Ratio | 1.33 | 1.07 |
CPC Index | 0.56 | 0.5 |
Tail Ratio | 1.13 | 0.96 |
Outlier Win Ratio | 7.12 | 3.53 |
Outlier Loss Ratio | 5.54 | 3.34 |
MTD | 0.41% | -0.59% |
3M | 2.96% | 3.76% |
6M | 5.96% | -1.57% |
YTD | 3.56% | 1.75% |
1Y | 8.05% | 13.04% |
3Y (ann.) | 7.68% | 8.74% |
5Y (ann.) | 7.68% | 8.74% |
10Y (ann.) | 7.68% | 8.74% |
All-time (ann.) | 7.68% | 8.74% |
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 | -1.03% | -4.73% |
Avg. Drawdown Days | 11 | 53 |
Recovery Factor | 1.09 | 0.65 |
Ulcer Index | 0.02 | 0.16 |
Serenity Index | 3.02 | 0.07 |
Avg. Up Month | 1.35% | 4.78% |
Avg. Down Month | -0.98% | -3.35% |
Win Days | 54.58% | 51.59% |
Win Month | 75.0% | 59.38% |
Win Quarter | 91.67% | 66.67% |
Win Year | 100.0% | 75.0% |
Beta | -0.12 | - |
Alpha | 0.11 | - |
Correlation | -15.19% | - |
Treynor Ratio | -186.76% | - |
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 | 1.75 | 3.56 | 2.04 | + |
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 |