Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 4.3% | 4.89% |
CAGR﹪ | 9.95% | 11.37% |
Sharpe | 0.87 | 43.29 |
Prob. Sharpe Ratio | 71.68% | 100.0% |
Smart Sharpe | 0.78 | 38.82 |
Sortino | 1.23 | - |
Smart Sortino | 1.1 | - |
Sortino/√2 | 0.87 | - |
Smart Sortino/√2 | 0.78 | - |
Omega | 1.17 | 1.17 |
Max Drawdown | -5.76% | - |
Longest DD Days | - | - |
Volatility (ann.) | 11.48% | 0.25% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.0 | -0.0 |
Calmar | 1.73 | - |
Skew | -0.62 | 2.14 |
Kurtosis | 3.1 | 5.38 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.7% | 0.8% |
Expected Yearly | 2.13% | 2.42% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.15% | -0.02% |
Expected Shortfall (cVaR) | -1.15% | -0.02% |
Max Consecutive Wins | 6 | 112 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.17 | - |
Gain/Pain (1M) | 2.2 | - |
Payoff Ratio | - | - |
Profit Factor | 1.17 | - |
Common Sense Ratio | 1.42 | - |
CPC Index | - | - |
Tail Ratio | 1.21 | 2.71 |
Outlier Win Ratio | 1.6 | 20.0 |
Outlier Loss Ratio | 2.43 | - |
MTD | 0.41% | 0.68% |
3M | 4.28% | 2.27% |
6M | 4.3% | 4.89% |
YTD | 3.83% | 2.24% |
1Y | 4.3% | 4.89% |
3Y (ann.) | 9.95% | 11.37% |
5Y (ann.) | 9.95% | 11.37% |
10Y (ann.) | 9.95% | 11.37% |
All-time (ann.) | 9.95% | 11.37% |
Best Day | 2.15% | 0.09% |
Worst Day | -2.79% | 0.0% |
Best Month | 2.74% | 1.11% |
Worst Month | -1.31% | 0.68% |
Best Year | 3.83% | 2.6% |
Worst Year | 0.45% | 2.24% |
Avg. Drawdown | -1.76% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.75 | - |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 0.52 | - |
Avg. Up Month | 1.63% | 0.74% |
Avg. Down Month | - | - |
Win Days | 50.0% | 100.0% |
Win Month | 66.67% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -4.27 | - |
Alpha | 0.56 | - |
Correlation | -9.15% | - |
Treynor Ratio | -1.01% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 2.60 | 0.45 | 0.17 | - |
2024 | 2.24 | 3.83 | 1.71 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
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 |
2024-02-19 | 2024-02-29 | -0.69 | 10 |
2024-03-26 | 2024-03-29 | -0.63 | 3 |
2024-03-18 | 2024-03-22 | -0.41 | 4 |
2024-02-07 | 2024-02-12 | -0.24 | 5 |