Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 27.12% | 50.22% |
CAGR﹪ | 5.65% | 9.77% |
Sharpe | 0.35 | 8.63 |
Prob. Sharpe Ratio | 76.56% | 99.98% |
Smart Sharpe | 0.34 | 8.26 |
Sortino | 0.47 | - |
Smart Sortino | 0.45 | - |
Sortino/√2 | 0.33 | - |
Smart Sortino/√2 | 0.32 | - |
Omega | 1.07 | 1.07 |
Max Drawdown | -52.41% | - |
Longest DD Days | - | - |
Volatility (ann.) | 23.85% | 1.1% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.11 | - |
Skew | -1.33 | 21.36 |
Kurtosis | 17.15 | 482.41 |
Expected Daily | 0.02% | 0.04% |
Expected Monthly | 0.45% | 0.76% |
Expected Yearly | 4.92% | 8.48% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.44% | -0.08% |
Expected Shortfall (cVaR) | -2.44% | -0.08% |
Max Consecutive Wins | 11 | 1083 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | 0.07 | - |
Gain/Pain (1M) | 0.29 | - |
Payoff Ratio | - | - |
Profit Factor | 1.07 | - |
Common Sense Ratio | 0.98 | - |
CPC Index | - | - |
Tail Ratio | 0.92 | 3.88 |
Outlier Win Ratio | 1.97 | 49.52 |
Outlier Loss Ratio | 2.06 | - |
MTD | -0.95% | 1.65% |
3M | -9.61% | 6.22% |
6M | -13.72% | 10.36% |
YTD | -4.14% | 14.5% |
1Y | -2.42% | 18.4% |
3Y (ann.) | -6.87% | 12.09% |
5Y (ann.) | 5.65% | 9.77% |
10Y (ann.) | 5.65% | 9.77% |
All-time (ann.) | 5.65% | 9.77% |
Best Day | 11.38% | 1.65% |
Worst Day | -15.34% | 0.0% |
Best Month | 15.01% | 1.65% |
Worst Month | -29.84% | 0.35% |
Best Year | 47.81% | 14.5% |
Worst Year | -38.05% | 3.02% |
Avg. Drawdown | -3.25% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.52 | - |
Ulcer Index | 0.25 | 0.0 |
Serenity Index | 0.04 | - |
Avg. Up Month | 4.84% | 0.71% |
Avg. Down Month | - | - |
Win Days | 53.87% | 100.0% |
Win Month | 62.96% | 100.0% |
Win Quarter | 63.16% | 100.0% |
Win Year | 60.0% | 100.0% |
Beta | 2.78 | - |
Alpha | -0.18 | - |
Correlation | 12.79% | - |
Treynor Ratio | 9.75% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 3.02 | 26.46 | 8.76 | + |
2021 | 5.82 | 14.51 | 2.49 | + |
2022 | 9.41 | -38.05 | -4.05 | - |
2023 | 10.00 | 47.81 | 4.78 | + |
2024 | 14.50 | -4.14 | -0.29 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-10-01 | -52.41 | 1076 |
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 |