Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | -8.06% | 17.27% |
CAGR﹪ | -2.43% | 4.78% |
Sharpe | -0.08 | 0.51 |
Prob. Sharpe Ratio | 44.86% | 77.6% |
Smart Sharpe | -0.08 | 0.48 |
Sortino | -0.11 | 0.7 |
Smart Sortino | -0.1 | 0.67 |
Sortino/√2 | -0.07 | 0.49 |
Smart Sortino/√2 | -0.07 | 0.47 |
Omega | 0.98 | 0.98 |
Max Drawdown | -24.05% | -13.72% |
Longest DD Days | 1008 | 488 |
Volatility (ann.) | 19.4% | 15.73% |
R^2 | 0.29 | 0.29 |
Information Ratio | -0.04 | -0.04 |
Calmar | -0.1 | 0.35 |
Skew | -2.25 | -1.43 |
Kurtosis | 19.69 | 33.25 |
Expected Daily | -0.01% | 0.03% |
Expected Monthly | -0.27% | 0.52% |
Expected Yearly | -1.67% | 3.24% |
Kelly Criterion | -2.78% | 2.83% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.02% | -1.6% |
Expected Shortfall (cVaR) | -2.02% | -1.6% |
Max Consecutive Wins | 9 | 5 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.02 | 0.1 |
Gain/Pain (1M) | -0.08 | 0.57 |
Payoff Ratio | 0.92 | 1.03 |
Profit Factor | 0.98 | 1.1 |
Common Sense Ratio | 1.0 | 1.19 |
CPC Index | 0.46 | 0.58 |
Tail Ratio | 1.01 | 1.08 |
Outlier Win Ratio | 3.34 | 3.74 |
Outlier Loss Ratio | 3.48 | 4.62 |
MTD | -0.75% | 1.48% |
3M | 2.31% | 1.35% |
6M | -9.76% | -4.55% |
YTD | 4.38% | 2.37% |
1Y | 13.29% | 20.63% |
3Y (ann.) | -1.45% | 7.51% |
5Y (ann.) | -2.43% | 4.78% |
10Y (ann.) | -2.43% | 4.78% |
All-time (ann.) | -2.43% | 4.78% |
Best Day | 5.39% | 8.19% |
Worst Day | -10.56% | -11.05% |
Best Month | 12.37% | 10.42% |
Worst Month | -13.05% | -9.67% |
Best Year | 4.38% | 11.14% |
Worst Year | -10.84% | -5.65% |
Avg. Drawdown | -12.44% | -6.19% |
Avg. Drawdown Days | 308 | 152 |
Recovery Factor | -0.33 | 1.26 |
Ulcer Index | 0.11 | 0.08 |
Serenity Index | -0.05 | 0.18 |
Avg. Up Month | 2.51% | 2.69% |
Avg. Down Month | -3.49% | -3.25% |
Win Days | 50.78% | 50.76% |
Win Month | 54.84% | 61.29% |
Win Quarter | 45.45% | 54.55% |
Win Year | 40.0% | 80.0% |
Beta | 0.66 | - |
Alpha | -0.07 | - |
Correlation | 53.63% | - |
Treynor Ratio | -12.18% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | -5.65 | -3.71 | 0.66 | + |
2021 | 0.36 | -0.91 | -2.57 | - |
2022 | 11.14 | -10.84 | -0.97 | - |
2023 | 8.87 | 3.55 | 0.40 | - |
2024 | 2.37 | 4.38 | 1.85 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2023-08-08 | -24.05 | 1008 |
2023-09-08 | 2024-03-28 | -18.38 | 202 |
2023-08-14 | 2023-09-05 | -5.70 | 22 |
2023-09-06 | 2023-09-07 | -1.60 | 1 |