Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 30.93% | 32.52% |
CAGR﹪ | 7.94% | 8.31% |
Sharpe | 0.44 | 2.01 |
Prob. Sharpe Ratio | 78.84% | 100.0% |
Smart Sharpe | 0.42 | 1.94 |
Sortino | 0.58 | 96.18 |
Smart Sortino | 0.56 | 92.75 |
Sortino/√2 | 0.41 | 68.01 |
Smart Sortino/√2 | 0.39 | 65.59 |
Omega | 1.09 | 1.09 |
Max Drawdown | -52.41% | -1.25% |
Longest DD Days | 771 | 209 |
Volatility (ann.) | 24.73% | 4.09% |
R^2 | 0.06 | 0.06 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.15 | 6.62 |
Skew | -1.54 | 29.27 |
Kurtosis | 18.2 | 861.95 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.61% | 0.64% |
Expected Yearly | 6.97% | 7.29% |
Kelly Criterion | 8.41% | 84.21% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.52% | -0.39% |
Expected Shortfall (cVaR) | -2.52% | -0.39% |
Max Consecutive Wins | 10 | 397 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.09 | 20.72 |
Gain/Pain (1M) | 0.37 | 20.72 |
Payoff Ratio | 1.01 | 3.64 |
Profit Factor | 1.09 | 21.72 |
Common Sense Ratio | 1.02 | 65.4 |
CPC Index | 0.59 | 69.17 |
Tail Ratio | 0.94 | 3.01 |
Outlier Win Ratio | 1.75 | 43.77 |
Outlier Loss Ratio | 2.22 | 187.19 |
MTD | -0.54% | 0.04% |
3M | -2.2% | 2.59% |
6M | 18.53% | 3.91% |
YTD | 45.95% | 6.38% |
1Y | 47.11% | 7.21% |
3Y (ann.) | 1.2% | 9.17% |
5Y (ann.) | 7.94% | 8.31% |
10Y (ann.) | 7.94% | 8.31% |
All-time (ann.) | 7.94% | 8.31% |
Best Day | 11.38% | 7.61% |
Worst Day | -15.34% | -0.02% |
Best Month | 15.01% | 7.61% |
Worst Month | -29.84% | -0.52% |
Best Year | 45.95% | 11.92% |
Worst Year | -38.05% | 2.68% |
Avg. Drawdown | -3.25% | -0.68% |
Avg. Drawdown Days | 34 | 138 |
Recovery Factor | 0.59 | 25.92 |
Ulcer Index | 0.26 | 0.0 |
Serenity Index | 0.04 | 35.49 |
Avg. Up Month | 5.05% | 0.82% |
Avg. Down Month | -3.73% | -0.21% |
Win Days | 53.94% | 87.61% |
Win Month | 63.64% | 88.64% |
Win Quarter | 73.33% | 93.33% |
Win Year | 75.0% | 100.0% |
Beta | 1.45 | - |
Alpha | -0.01 | - |
Correlation | 24.05% | - |
Treynor Ratio | 21.26% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 2.68 | 26.46 | 9.86 | + |
2021 | 8.39 | 14.51 | 1.73 | + |
2022 | 11.92 | -38.05 | -3.19 | - |
2023 | 6.38 | 45.95 | 7.20 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2023-12-01 | -52.41 | 771 |
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 |