Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 7.12% | 49.31% |
CAGR﹪ | 1.15% | 6.86% |
Sharpe | 0.39 | 10.28 |
Prob. Sharpe Ratio | 84.2% | 100.0% |
Smart Sharpe | 0.37 | 9.65 |
Sortino | 0.64 | 95.08 |
Smart Sortino | 0.6 | 89.28 |
Sortino/√2 | 0.45 | 67.23 |
Smart Sortino/√2 | 0.43 | 63.13 |
Omega | 1.08 | 1.08 |
Max Drawdown | -72.29% | -1.25% |
Longest DD Days | 854 | 209 |
Volatility (ann.) | 81.1% | 0.65% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.02 | 5.47 |
Skew | 3.51 | 5.56 |
Kurtosis | 64.19 | 37.66 |
Expected Daily | 0.0% | 0.03% |
Expected Monthly | 0.09% | 0.55% |
Expected Yearly | 0.99% | 5.89% |
Kelly Criterion | 3.38% | 86.58% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -8.28% | -0.04% |
Expected Shortfall (cVaR) | -8.28% | -0.04% |
Max Consecutive Wins | 9 | 419 |
Max Consecutive Losses | 8 | 64 |
Gain/Pain Ratio | 0.08 | 22.62 |
Gain/Pain (1M) | 0.39 | 22.62 |
Payoff Ratio | 1.16 | 2.65 |
Profit Factor | 1.08 | 23.62 |
Common Sense Ratio | 1.14 | 113.71 |
CPC Index | 0.6 | 56.57 |
Tail Ratio | 1.06 | 4.81 |
Outlier Win Ratio | 1.86 | 216.75 |
Outlier Loss Ratio | 1.67 | 435.8 |
MTD | -4.81% | 0.65% |
3M | -1.14% | 2.31% |
6M | -5.16% | 5.09% |
YTD | -4.66% | 2.2% |
1Y | 3.35% | 8.06% |
3Y (ann.) | -20.59% | 9.35% |
5Y (ann.) | 11.05% | 7.26% |
10Y (ann.) | 1.15% | 6.86% |
All-time (ann.) | 1.15% | 6.86% |
Best Day | 89.35% | 0.32% |
Worst Day | -32.51% | -0.02% |
Best Month | 90.27% | 7.61% |
Worst Month | -41.2% | -0.52% |
Best Year | 157.03% | 11.92% |
Worst Year | -48.9% | 2.2% |
Avg. Drawdown | -29.44% | -0.59% |
Avg. Drawdown Days | 197 | 132 |
Recovery Factor | 0.1 | 39.3 |
Ulcer Index | 0.43 | 0.0 |
Serenity Index | 0.01 | 14.51 |
Avg. Up Month | 21.42% | 0.51% |
Avg. Down Month | -12.9% | -0.28% |
Win Days | 48.07% | 90.25% |
Win Month | 43.84% | 90.41% |
Win Quarter | 52.0% | 92.0% |
Win Year | 28.57% | 100.0% |
Beta | -2.6 | - |
Alpha | 0.49 | - |
Correlation | -2.08% | - |
Treynor Ratio | -2.74% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2018 | 3.70 | -36.65 | -9.90 | - |
2019 | 3.05 | -6.22 | -2.04 | - |
2020 | 4.91 | 157.03 | 31.97 | + |
2021 | 8.39 | 55.89 | 6.66 | + |
2022 | 11.92 | -48.90 | -4.10 | - |
2023 | 7.42 | -7.64 | -1.03 | - |
2024 | 2.20 | -4.66 | -2.12 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-24 | 2024-03-27 | -72.29 | 854 |
2018-03-22 | 2020-03-04 | -63.64 | 713 |
2020-05-21 | 2021-01-14 | -53.50 | 238 |
2020-03-09 | 2020-04-16 | -48.13 | 38 |
2021-02-09 | 2021-11-18 | -45.04 | 282 |
2020-04-21 | 2020-05-08 | -12.83 | 17 |
2021-01-15 | 2021-02-03 | -10.95 | 19 |
2018-03-19 | 2018-03-21 | -4.94 | 2 |
2020-04-17 | 2020-04-20 | -4.71 | 3 |
2020-05-18 | 2020-05-20 | -4.05 | 2 |