Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 93.0% |
Cumulative Return | 24.53% | -100.0% |
CAGR﹪ | 5.17% | -100.0% |
Sharpe | 0.34 | -0.31 |
Prob. Sharpe Ratio | 75.31% | 19.11% |
Smart Sharpe | 0.32 | -0.3 |
Sortino | 0.44 | -0.33 |
Smart Sortino | 0.42 | -0.31 |
Sortino/√2 | 0.31 | -0.23 |
Smart Sortino/√2 | 0.3 | -0.22 |
Omega | 1.07 | 1.07 |
Max Drawdown | -52.41% | -100.0% |
Longest DD Days | 1076 | 488 |
Volatility (ann.) | 23.86% | 51.68% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.1 | -1.0 |
Skew | -1.33 | -26.8 |
Kurtosis | 17.19 | 825.08 |
Expected Daily | 0.02% | -100.0% |
Expected Monthly | 0.41% | -100.0% |
Expected Yearly | 4.48% | -100.0% |
Kelly Criterion | 11.43% | -35.21% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.44% | -5.42% |
Expected Shortfall (cVaR) | -2.44% | -5.42% |
Max Consecutive Wins | 11 | 9 |
Max Consecutive Losses | 8 | 12 |
Gain/Pain Ratio | 0.07 | -0.15 |
Gain/Pain (1M) | 0.27 | -0.39 |
Payoff Ratio | 1.09 | 0.58 |
Profit Factor | 1.07 | 0.85 |
Common Sense Ratio | 0.97 | 0.85 |
CPC Index | 0.63 | 0.25 |
Tail Ratio | 0.91 | 1.0 |
Outlier Win Ratio | 3.58 | 5.05 |
Outlier Loss Ratio | 3.59 | 4.11 |
MTD | -0.95% | 0.0% |
3M | -9.61% | 0.0% |
6M | -13.72% | -100.0% |
YTD | -4.14% | -100.0% |
1Y | -2.42% | -100.0% |
3Y (ann.) | -6.87% | -100.0% |
5Y (ann.) | 5.17% | -100.0% |
10Y (ann.) | 5.17% | -100.0% |
All-time (ann.) | 5.17% | -100.0% |
Best Day | 11.38% | 10.7% |
Worst Day | -15.34% | -100.0% |
Best Month | 15.01% | 19.77% |
Worst Month | -29.84% | -100.0% |
Best Year | 47.81% | 29.27% |
Worst Year | -38.05% | -100.0% |
Avg. Drawdown | -3.25% | -9.07% |
Avg. Drawdown Days | 42 | 76 |
Recovery Factor | 0.47 | -1.0 |
Ulcer Index | 0.25 | 0.3 |
Serenity Index | 0.03 | -0.19 |
Avg. Up Month | 5.04% | 4.45% |
Avg. Down Month | -5.98% | -17.32% |
Win Days | 53.8% | 50.1% |
Win Month | 61.11% | 56.0% |
Win Quarter | 63.16% | 64.71% |
Win Year | 60.0% | 60.0% |
Beta | -0.01 | - |
Alpha | 0.08 | - |
Correlation | -1.72% | - |
Treynor Ratio | -3095.83% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 5.58 | 23.88 | 4.28 | + |
2021 | 0.36 | 14.51 | 40.73 | + |
2022 | -6.40 | -38.05 | 5.94 | - |
2023 | 29.27 | 47.81 | 1.63 | + |
2024 | -100.00 | -4.14 | 0.04 | + |
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 |