Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 94.0% |
Cumulative Return | 13.26% | 14.26% |
CAGR﹪ | 6.42% | 6.89% |
Sharpe | -106.6 | -165.39 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -87.27 | -135.4 |
Sortino | -15.72 | -15.82 |
Smart Sortino | -12.87 | -12.95 |
Sortino/√2 | -11.11 | -11.18 |
Smart Sortino/√2 | -9.1 | -9.16 |
Omega | 0.0 | 0.0 |
Max Drawdown | -1.47% | -0.15% |
Longest DD Days | 120 | 149 |
Volatility (ann.) | 1.9% | 1.22% |
R^2 | 0.38 | 0.38 |
Information Ratio | -0.02 | -0.02 |
Calmar | 4.37 | 46.77 |
Skew | 3.7 | 17.41 |
Kurtosis | 97.28 | 349.88 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.5% | 0.53% |
Expected Yearly | 4.24% | 4.54% |
Kelly Criterion | 71.48% | 77.7% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.17% | -0.1% |
Expected Shortfall (cVaR) | -0.17% | -0.1% |
Max Consecutive Wins | 322 | 104 |
Max Consecutive Losses | 16 | 19 |
Gain/Pain Ratio | 3.94 | 88.27 |
Gain/Pain (1M) | 11.4 | 94.64 |
Payoff Ratio | 0.8 | 25.42 |
Profit Factor | 4.94 | 89.27 |
Common Sense Ratio | 223.0 | 3876.52 |
CPC Index | 3.44 | 1782.65 |
Tail Ratio | 45.1 | 43.42 |
Outlier Win Ratio | 5.1 | 5.38 |
Outlier Loss Ratio | 0.5 | 17.39 |
MTD | -0.86% | -0.02% |
3M | -0.92% | -0.08% |
6M | -0.51% | 0.42% |
YTD | 0.5% | 1.38% |
1Y | 2.93% | 3.84% |
3Y (ann.) | 6.42% | 6.89% |
5Y (ann.) | 6.42% | 6.89% |
10Y (ann.) | 6.42% | 6.89% |
All-time (ann.) | 6.42% | 6.89% |
Best Day | 1.6% | 1.59% |
Worst Day | -1.07% | -0.0% |
Best Month | 1.75% | 1.69% |
Worst Month | -0.86% | -0.03% |
Best Year | 10.09% | 10.18% |
Worst Year | 0.5% | 1.38% |
Avg. Drawdown | -0.23% | -0.07% |
Avg. Drawdown Days | 19 | 76 |
Recovery Factor | 9.01 | 96.75 |
Ulcer Index | 0.0 | 0.0 |
Serenity Index | -1326.79 | -14510.27 |
Avg. Up Month | 0.68% | 0.68% |
Avg. Down Month | -0.22% | -0.03% |
Win Days | 87.36% | 78.54% |
Win Month | 80.0% | 80.0% |
Win Quarter | 77.78% | 77.78% |
Win Year | 100.0% | 100.0% |
Beta | 0.95 | - |
Alpha | -0.0 | - |
Correlation | 61.35% | - |
Treynor Ratio | -719.97% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.29 | 2.37 | 1.03 | + |
2022 | 10.18 | 10.09 | 0.99 | - |
2023 | 1.38 | 0.50 | 0.36 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-04-26 | 2023-08-24 | -1.47 | 120 |
2023-01-06 | 2023-01-11 | -0.14 | 5 |
2023-03-17 | 2023-03-20 | -0.01 | 3 |
2023-01-03 | 2023-01-04 | -0.00 | 1 |
2023-03-21 | 2023-03-22 | -0.00 | 1 |
2023-04-17 | 2023-04-19 | -0.00 | 2 |
2023-04-21 | 2023-04-25 | -0.00 | 4 |