Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 15.74% | 27.07% |
CAGR﹪ | 11.66% | 19.8% |
Sharpe | 0.62 | 49.3 |
Prob. Sharpe Ratio | 76.58% | 100.0% |
Smart Sharpe | 0.61 | 48.35 |
Sortino | 0.99 | - |
Smart Sortino | 0.98 | - |
Sortino/√2 | 0.7 | - |
Smart Sortino/√2 | 0.69 | - |
Omega | 1.13 | 1.13 |
Max Drawdown | -10.38% | - |
Longest DD Days | - | - |
Volatility (ann.) | 21.29% | 0.36% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 1.12 | - |
Skew | 0.81 | 3.0 |
Kurtosis | 3.12 | 11.82 |
Expected Daily | 0.04% | 0.07% |
Expected Monthly | 0.86% | 1.42% |
Expected Yearly | 4.99% | 8.31% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.15% | -0.03% |
Expected Shortfall (cVaR) | -2.15% | -0.03% |
Max Consecutive Wins | 7 | 337 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | 0.13 | - |
Gain/Pain (1M) | 0.78 | - |
Payoff Ratio | - | - |
Profit Factor | 1.13 | - |
Common Sense Ratio | 1.41 | - |
CPC Index | - | - |
Tail Ratio | 1.25 | 2.16 |
Outlier Win Ratio | 2.37 | 32.11 |
Outlier Loss Ratio | 1.94 | - |
MTD | -6.28% | 1.79% |
3M | 7.93% | 6.58% |
6M | 9.11% | 11.86% |
YTD | -8.2% | 3.61% |
1Y | 12.89% | 20.85% |
3Y (ann.) | 11.66% | 19.8% |
5Y (ann.) | 11.66% | 19.8% |
10Y (ann.) | 11.66% | 19.8% |
All-time (ann.) | 11.66% | 19.8% |
Best Day | 5.69% | 0.18% |
Worst Day | -3.97% | 0.0% |
Best Month | 18.88% | 1.83% |
Worst Month | -6.28% | 0.89% |
Best Year | 25.52% | 18.74% |
Worst Year | -8.2% | 3.29% |
Avg. Drawdown | -3.08% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.52 | - |
Ulcer Index | 0.04 | 0.0 |
Serenity Index | 0.7 | - |
Avg. Up Month | 4.49% | 1.43% |
Avg. Down Month | - | - |
Win Days | 48.36% | 100.0% |
Win Month | 52.94% | 100.0% |
Win Quarter | 66.67% | 100.0% |
Win Year | 66.67% | 100.0% |
Beta | -3.28 | - |
Alpha | 0.72 | - |
Correlation | -5.59% | - |
Treynor Ratio | -4.79% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 3.29 | 0.45 | 0.14 | - |
2024 | 18.74 | 25.52 | 1.36 | + |
2025 | 3.61 | -8.20 | -2.27 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-04-23 | 2024-11-14 | -10.38 | 205 |
2024-11-29 | 2024-12-28 | -9.13 | 29 |
2025-01-08 | 2025-02-14 | -8.78 | 37 |
2023-10-20 | 2023-12-05 | -5.76 | 46 |
2024-01-05 | 2024-02-06 | -3.11 | 32 |
2023-12-25 | 2024-01-03 | -1.82 | 9 |
2023-12-06 | 2023-12-21 | -1.67 | 15 |
2024-03-01 | 2024-03-15 | -1.57 | 14 |
2024-04-18 | 2024-04-22 | -1.07 | 4 |
2024-11-18 | 2024-11-22 | -0.89 | 4 |