Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 14.25% | 10.83% |
CAGR﹪ | 6.86% | 5.25% |
Sharpe | 0.43 | 12.44 |
Prob. Sharpe Ratio | 69.57% | 100.0% |
Smart Sharpe | 0.43 | 12.35 |
Sortino | 0.54 | 50.37 |
Smart Sortino | 0.54 | 50.0 |
Sortino/√2 | 0.38 | 35.62 |
Smart Sortino/√2 | 0.38 | 35.36 |
Omega | 1.1 | 1.1 |
Max Drawdown | -45.06% | -1.25% |
Longest DD Days | 507 | 209 |
Volatility (ann.) | 42.89% | 0.52% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.15 | 4.19 |
Skew | -4.43 | 2.12 |
Kurtosis | 56.92 | 12.97 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.58% | 0.45% |
Expected Yearly | 4.54% | 3.49% |
Kelly Criterion | 4.43% | 75.23% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.37% | -0.03% |
Expected Shortfall (cVaR) | -4.37% | -0.03% |
Max Consecutive Wins | 6 | 286 |
Max Consecutive Losses | 7 | 62 |
Gain/Pain Ratio | 0.1 | 8.15 |
Gain/Pain (1M) | 0.45 | 8.15 |
Payoff Ratio | 0.95 | 1.66 |
Profit Factor | 1.1 | 9.15 |
Common Sense Ratio | 1.26 | 27.63 |
CPC Index | 0.56 | 12.85 |
Tail Ratio | 1.14 | 3.02 |
Outlier Win Ratio | 1.92 | 85.21 |
Outlier Loss Ratio | 1.63 | 134.29 |
MTD | -3.36% | 0.73% |
3M | 0.85% | 3.49% |
6M | 12.7% | 4.88% |
YTD | 44.42% | 7.42% |
1Y | 58.1% | 8.18% |
3Y (ann.) | 6.86% | 5.25% |
5Y (ann.) | 6.86% | 5.25% |
10Y (ann.) | 6.86% | 5.25% |
All-time (ann.) | 6.86% | 5.25% |
Best Day | 9.89% | 0.24% |
Worst Day | -33.14% | -0.02% |
Best Month | 18.32% | 1.17% |
Worst Month | -28.25% | -0.52% |
Best Year | 44.42% | 7.42% |
Worst Year | -20.45% | 0.75% |
Avg. Drawdown | -8.13% | -1.25% |
Avg. Drawdown Days | 72 | 209 |
Recovery Factor | 0.32 | 8.63 |
Ulcer Index | 0.24 | 0.0 |
Serenity Index | 0.04 | 0.79 |
Avg. Up Month | 5.32% | 0.63% |
Avg. Down Month | -11.87% | -0.43% |
Win Days | 53.35% | 84.54% |
Win Month | 65.22% | 86.96% |
Win Quarter | 77.78% | 77.78% |
Win Year | 33.33% | 100.0% |
Beta | 0.85 | - |
Alpha | 0.13 | - |
Correlation | 1.03% | - |
Treynor Ratio | 16.67% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.75 | -0.55 | -0.73 | - |
2022 | 2.41 | -20.45 | -8.49 | - |
2023 | 7.42 | 44.42 | 5.99 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2023-07-17 | -45.06 | 507 |
2023-08-16 | 2023-11-28 | -8.88 | 104 |
2022-01-26 | 2022-02-24 | -5.97 | 29 |
2021-12-09 | 2022-01-24 | -5.49 | 46 |
2023-11-29 | 2023-12-05 | -4.60 | 6 |
2021-12-03 | 2021-12-07 | -4.11 | 4 |
2023-07-18 | 2023-07-27 | -2.82 | 9 |
2023-07-28 | 2023-08-02 | -1.57 | 5 |
2023-08-11 | 2023-08-15 | -1.50 | 4 |
2023-08-03 | 2023-08-08 | -1.33 | 5 |