Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 19.55% | 17.96% |
CAGR﹪ | 10.58% | 9.75% |
Sharpe | 0.26 | 0.22 |
Prob. Sharpe Ratio | 24.06% | 20.63% |
Smart Sharpe | 0.25 | 0.22 |
Sortino | 0.4 | 0.33 |
Smart Sortino | 0.39 | 0.33 |
Sortino/√2 | 0.28 | 0.23 |
Smart Sortino/√2 | 0.28 | 0.23 |
Omega | 1.05 | 1.05 |
Max Drawdown | -14.69% | -17.45% |
Longest DD Days | 219 | 212 |
Volatility (ann.) | 20.16% | 23.69% |
R^2 | 0.4 | 0.4 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.72 | 0.56 |
Skew | 0.76 | 0.64 |
Kurtosis | 3.33 | 5.95 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.81% | 0.75% |
Expected Yearly | 6.13% | 5.66% |
Kelly Criterion | 8.95% | 5.36% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.04% | -2.41% |
Expected Shortfall (cVaR) | -2.04% | -2.41% |
Max Consecutive Wins | 7 | 7 |
Max Consecutive Losses | 8 | 12 |
Gain/Pain Ratio | 0.12 | 0.11 |
Gain/Pain (1M) | 0.87 | 0.95 |
Payoff Ratio | 1.19 | 1.06 |
Profit Factor | 1.12 | 1.11 |
Common Sense Ratio | 1.28 | 1.27 |
CPC Index | 0.67 | 0.6 |
Tail Ratio | 1.14 | 1.14 |
Outlier Win Ratio | 4.96 | 4.55 |
Outlier Loss Ratio | 4.9 | 4.33 |
MTD | 0.69% | 2.26% |
3M | 4.46% | 9.52% |
6M | 0.95% | 3.44% |
YTD | -7.33% | -6.05% |
1Y | 12.88% | 10.83% |
3Y (ann.) | 10.58% | 9.75% |
5Y (ann.) | 10.58% | 9.75% |
10Y (ann.) | 10.58% | 9.75% |
All-time (ann.) | 10.58% | 9.75% |
Best Day | 5.69% | 9.32% |
Worst Day | -3.97% | -5.35% |
Best Month | 18.88% | 11.08% |
Worst Month | -6.28% | -6.3% |
Best Year | 25.52% | 22.65% |
Worst Year | -7.33% | -6.05% |
Avg. Drawdown | -3.18% | -2.84% |
Avg. Drawdown Days | 36 | 20 |
Recovery Factor | 1.33 | 1.03 |
Ulcer Index | 0.07 | 0.07 |
Serenity Index | 0.19 | 0.17 |
Avg. Up Month | 4.13% | 3.23% |
Avg. Down Month | -3.35% | -3.9% |
Win Days | 50.45% | 51.22% |
Win Month | 54.55% | 63.64% |
Win Quarter | 62.5% | 62.5% |
Win Year | 66.67% | 66.67% |
Beta | 0.54 | - |
Alpha | 0.06 | - |
Correlation | 62.98% | - |
Treynor Ratio | 23.41% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 2.37 | 2.77 | 1.17 | + |
2024 | 22.65 | 25.52 | 1.13 | + |
2025 | -6.05 | -7.33 | 1.21 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2025-01-08 | 2025-08-15 | -14.69 | 219 |
2024-04-23 | 2024-11-14 | -10.38 | 205 |
2024-11-29 | 2024-12-28 | -9.13 | 29 |
2023-11-13 | 2023-12-01 | -4.09 | 18 |
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 |