Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 0.96% | 5.87% |
CAGR﹪ | 0.63% | 3.83% |
Sharpe | 0.27 | 11.47 |
Prob. Sharpe Ratio | 61.14% | 100.0% |
Smart Sharpe | 0.25 | 10.66 |
Sortino | 0.33 | 32.65 |
Smart Sortino | 0.31 | 30.34 |
Sortino/√2 | 0.24 | 23.09 |
Smart Sortino/√2 | 0.22 | 21.45 |
Omega | 1.06 | 1.06 |
Max Drawdown | -45.06% | -1.25% |
Longest DD Days | 469 | 209 |
Volatility (ann.) | 45.47% | 0.43% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.01 | 3.05 |
Skew | -5.07 | 0.06 |
Kurtosis | 61.48 | -0.65 |
Expected Daily | 0.0% | 0.02% |
Expected Monthly | 0.06% | 0.34% |
Expected Yearly | 0.32% | 1.92% |
Kelly Criterion | 4.72% | 64.85% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.66% | -0.02% |
Expected Shortfall (cVaR) | -4.66% | -0.02% |
Max Consecutive Wins | 6 | 178 |
Max Consecutive Losses | 7 | 62 |
Gain/Pain Ratio | 0.06 | 4.52 |
Gain/Pain (1M) | 0.24 | 4.52 |
Payoff Ratio | 0.94 | 1.51 |
Profit Factor | 1.06 | 5.52 |
Common Sense Ratio | 1.31 | 16.66 |
CPC Index | 0.54 | 6.58 |
Tail Ratio | 1.23 | 3.02 |
Outlier Win Ratio | 1.98 | 97.45 |
Outlier Loss Ratio | 1.52 | 130.6 |
MTD | 3.66% | 0.13% |
3M | 12.18% | 1.2% |
6M | 36.61% | 3.19% |
YTD | 27.62% | 2.6% |
1Y | 39.32% | 2.82% |
3Y (ann.) | 0.63% | 3.83% |
5Y (ann.) | 0.63% | 3.83% |
10Y (ann.) | 0.63% | 3.83% |
All-time (ann.) | 0.63% | 3.83% |
Best Day | 9.89% | 0.07% |
Worst Day | -33.14% | -0.02% |
Best Month | 18.32% | 1.17% |
Worst Month | -28.25% | -0.52% |
Best Year | 27.62% | 2.6% |
Worst Year | -20.45% | 0.75% |
Avg. Drawdown | -15.16% | -1.25% |
Avg. Drawdown Days | 137 | 209 |
Recovery Factor | 0.02 | 4.68 |
Ulcer Index | 0.28 | 0.01 |
Serenity Index | 0.0 | 0.26 |
Avg. Up Month | 5.61% | 0.57% |
Avg. Down Month | -11.87% | -0.43% |
Win Days | 53.74% | 78.84% |
Win Month | 64.71% | 82.35% |
Win Quarter | 71.43% | 71.43% |
Win Year | 33.33% | 100.0% |
Beta | 4.93 | - |
Alpha | -0.12 | - |
Correlation | 4.62% | - |
Treynor Ratio | 0.19% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.75 | -0.55 | -0.73 | - |
2022 | 2.41 | -20.45 | -8.49 | - |
2023 | 2.60 | 27.62 | 10.61 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2023-06-09 | -45.06 | 469 |
2022-01-26 | 2022-02-24 | -5.97 | 29 |
2021-12-09 | 2022-01-24 | -5.49 | 46 |
2021-12-03 | 2021-12-07 | -4.11 | 4 |