Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 11.73% | 27.82% |
CAGR﹪ | 3.7% | 8.38% |
Sharpe | 0.28 | 1.89 |
Prob. Sharpe Ratio | 68.04% | 100.0% |
Smart Sharpe | 0.27 | 1.83 |
Sortino | 0.36 | 90.64 |
Smart Sortino | 0.35 | 87.49 |
Sortino/√2 | 0.25 | 64.09 |
Smart Sortino/√2 | 0.24 | 61.86 |
Omega | 1.06 | 1.06 |
Max Drawdown | -52.41% | -1.25% |
Longest DD Days | 596 | 209 |
Volatility (ann.) | 25.99% | 4.41% |
R^2 | 0.06 | 0.06 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.07 | 6.68 |
Skew | -1.52 | 27.12 |
Kurtosis | 17.16 | 740.06 |
Expected Daily | 0.01% | 0.03% |
Expected Monthly | 0.29% | 0.65% |
Expected Yearly | 2.81% | 6.33% |
Kelly Criterion | 9.68% | 81.87% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.66% | -0.42% |
Expected Shortfall (cVaR) | -2.66% | -0.42% |
Max Consecutive Wins | 10 | 397 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.06 | 18.09 |
Gain/Pain (1M) | 0.22 | 18.09 |
Payoff Ratio | 1.05 | 3.91 |
Profit Factor | 1.06 | 19.09 |
Common Sense Ratio | 0.93 | 66.31 |
CPC Index | 0.59 | 63.91 |
Tail Ratio | 0.88 | 3.47 |
Outlier Win Ratio | 1.73 | 42.53 |
Outlier Loss Ratio | 2.26 | 201.74 |
MTD | 1.15% | 0.13% |
3M | 17.58% | 1.2% |
6M | 24.69% | 3.19% |
YTD | 24.55% | 2.61% |
1Y | 27.37% | 2.83% |
3Y (ann.) | 2.41% | 8.58% |
5Y (ann.) | 3.7% | 8.38% |
10Y (ann.) | 3.7% | 8.38% |
All-time (ann.) | 3.7% | 8.38% |
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 | 26.46% | 11.92% |
Worst Year | -38.05% | 2.61% |
Avg. Drawdown | -3.25% | -0.68% |
Avg. Drawdown Days | 29 | 138 |
Recovery Factor | 0.22 | 22.17 |
Ulcer Index | 0.27 | 0.0 |
Serenity Index | 0.01 | 27.98 |
Avg. Up Month | 4.74% | 0.85% |
Avg. Down Month | -3.73% | -0.21% |
Win Days | 53.78% | 85.56% |
Win Month | 65.79% | 86.84% |
Win Quarter | 69.23% | 92.31% |
Win Year | 75.0% | 100.0% |
Beta | 1.46 | - |
Alpha | -0.05 | - |
Correlation | 24.77% | - |
Treynor Ratio | 8.04% | - |
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 | 2.61 | 24.55 | 9.41 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2023-06-09 | -52.41 | 596 |
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 |