Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 84.0% | 100.0% |
Cumulative Return | 24.53% | 39.56% |
CAGR﹪ | 4.39% | 6.75% |
Sharpe | 0.0 | 0.15 |
Prob. Sharpe Ratio | 3.77% | 6.07% |
Smart Sharpe | 0.0 | 0.14 |
Sortino | 0.0 | 0.19 |
Smart Sortino | 0.0 | 0.17 |
Sortino/√2 | 0.0 | 0.13 |
Smart Sortino/√2 | 0.0 | 0.12 |
Omega | 1.0 | 1.0 |
Max Drawdown | -52.41% | -53.27% |
Longest DD Days | 1352 | 1215 |
Volatility (ann.) | 21.96% | 28.53% |
R^2 | 0.52 | 0.52 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.08 | 0.13 |
Skew | -1.44 | -4.16 |
Kurtosis | 20.8 | 105.56 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.35% | 0.53% |
Expected Yearly | 3.72% | 5.71% |
Kelly Criterion | 0.03% | 0.1% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.25% | -2.91% |
Expected Shortfall (cVaR) | -2.25% | -2.91% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 8 | 14 |
Gain/Pain Ratio | 0.07 | 0.09 |
Gain/Pain (1M) | 0.27 | 0.38 |
Payoff Ratio | 0.86 | 0.81 |
Profit Factor | 1.07 | 1.09 |
Common Sense Ratio | 0.99 | 1.05 |
CPC Index | 0.49 | 0.49 |
Tail Ratio | 0.93 | 0.96 |
Outlier Win Ratio | 4.8 | 3.5 |
Outlier Loss Ratio | 3.72 | 3.55 |
MTD | 0.0% | -1.7% |
3M | 0.0% | -0.74% |
6M | 0.0% | 2.79% |
YTD | 0.0% | 0.74% |
1Y | -10.73% | -3.06% |
3Y (ann.) | 14.88% | 19.43% |
5Y (ann.) | 2.73% | 5.07% |
10Y (ann.) | 4.39% | 6.75% |
All-time (ann.) | 4.39% | 6.75% |
Best Day | 11.38% | 20.14% |
Worst Day | -15.34% | -33.2% |
Best Month | 15.01% | 15.76% |
Worst Month | -29.84% | -29.79% |
Best Year | 47.81% | 51.86% |
Worst Year | -38.05% | -37.8% |
Avg. Drawdown | -3.25% | -4.13% |
Avg. Drawdown Days | 50 | 53 |
Recovery Factor | 0.47 | 0.74 |
Ulcer Index | 0.24 | 0.24 |
Serenity Index | 0.02 | 0.06 |
Avg. Up Month | 5.1% | 5.36% |
Avg. Down Month | -5.99% | -6.5% |
Win Days | 53.8% | 55.22% |
Win Month | 61.11% | 58.73% |
Win Quarter | 63.16% | 59.09% |
Win Year | 60.0% | 83.33% |
Beta | 0.56 | - |
Alpha | 0.01 | - |
Correlation | 72.11% | - |
Treynor Ratio | 31.58% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 25.33 | 23.88 | 0.94 | - |
2021 | 15.83 | 14.51 | 0.92 | - |
2022 | -37.80 | -38.05 | 1.01 | - |
2023 | 51.86 | 47.81 | 0.92 | - |
2024 | 1.04 | -4.14 | -3.98 | - |
2025 | 0.74 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2025-07-04 | -52.41 | 1352 |
2020-08-14 | 2020-11-16 | -11.45 | 94 |
2021-01-15 | 2021-03-15 | -7.04 | 59 |
2021-03-16 | 2021-05-07 | -4.55 | 52 |
2021-07-08 | 2021-08-17 | -3.97 | 40 |
2020-06-08 | 2020-07-06 | -3.65 | 28 |
2020-07-07 | 2020-07-17 | -2.80 | 10 |
2020-12-18 | 2020-12-29 | -2.50 | 11 |
2021-08-18 | 2021-09-01 | -2.33 | 14 |
2020-06-04 | 2020-06-05 | -2.13 | 1 |