Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 6.0% | 16.29% |
CAGR﹪ | 2.01% | 5.3% |
Sharpe | 0.26 | 33.41 |
Prob. Sharpe Ratio | 63.92% | - |
Smart Sharpe | 0.25 | 31.63 |
Sortino | 0.34 | - |
Smart Sortino | 0.32 | - |
Sortino/√2 | 0.24 | - |
Smart Sortino/√2 | 0.23 | - |
Omega | 1.05 | 1.05 |
Max Drawdown | -24.05% | - |
Longest DD Days | - | - |
Volatility (ann.) | 17.29% | 0.23% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.08 | - |
Skew | -2.74 | 0.33 |
Kurtosis | 26.76 | -0.58 |
Expected Daily | 0.01% | 0.03% |
Expected Monthly | 0.23% | 0.61% |
Expected Yearly | 1.47% | 3.85% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.77% | -0.01% |
Expected Shortfall (cVaR) | -1.77% | -0.01% |
Max Consecutive Wins | 9 | 485 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.05 | - |
Gain/Pain (1M) | 0.29 | - |
Payoff Ratio | - | - |
Profit Factor | 1.05 | - |
Common Sense Ratio | 1.24 | - |
CPC Index | - | - |
Tail Ratio | 1.18 | 4.78 |
Outlier Win Ratio | 1.85 | 41.36 |
Outlier Loss Ratio | 1.86 | - |
MTD | 0.14% | 0.18% |
3M | 15.63% | 1.22% |
6M | 27.66% | 2.31% |
YTD | 21.35% | 3.02% |
1Y | 21.35% | 3.02% |
3Y (ann.) | 2.02% | 5.31% |
5Y (ann.) | 2.01% | 5.3% |
10Y (ann.) | 2.01% | 5.3% |
All-time (ann.) | 2.01% | 5.3% |
Best Day | 4.14% | 0.06% |
Worst Day | -10.56% | 0.0% |
Best Month | 12.37% | 1.17% |
Worst Month | -11.3% | 0.17% |
Best Year | 21.35% | 8.39% |
Worst Year | -10.84% | 1.93% |
Avg. Drawdown | -7.19% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.25 | - |
Ulcer Index | 0.1 | 0.0 |
Serenity Index | 0.04 | - |
Avg. Up Month | 2.6% | 0.49% |
Avg. Down Month | - | - |
Win Days | 50.63% | 100.0% |
Win Month | 60.0% | 100.0% |
Win Quarter | 44.44% | 100.0% |
Win Year | 25.0% | 100.0% |
Beta | -8.21 | - |
Alpha | 0.69 | - |
Correlation | -11.12% | - |
Treynor Ratio | -0.73% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.93 | -1.13 | -0.59 | - |
2021 | 8.39 | -0.91 | -0.11 | - |
2022 | 2.17 | -10.84 | -4.99 | - |
2023 | 3.02 | 21.35 | 7.07 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2023-08-08 | -24.05 | 1008 |
2023-08-14 | 2023-09-05 | -5.70 | 22 |
2023-09-08 | 2023-09-22 | -4.23 | 14 |
2023-09-06 | 2023-09-07 | -1.60 | 1 |
2020-10-22 | 2020-10-26 | -0.35 | 4 |