Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 9.59% | 23.78% |
CAGR﹪ | 2.4% | 5.68% |
Sharpe | 0.23 | 21.24 |
Prob. Sharpe Ratio | 67.0% | 100.0% |
Smart Sharpe | 0.22 | 20.19 |
Sortino | 0.3 | 168.85 |
Smart Sortino | 0.28 | 160.51 |
Sortino/√2 | 0.21 | 119.4 |
Smart Sortino/√2 | 0.2 | 113.49 |
Omega | 1.05 | 1.05 |
Max Drawdown | -31.18% | -0.4% |
Longest DD Days | 479 | 120 |
Volatility (ann.) | 16.28% | 0.26% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.08 | 14.21 |
Skew | -2.93 | 0.26 |
Kurtosis | 40.94 | -0.29 |
Expected Daily | 0.01% | 0.02% |
Expected Monthly | 0.2% | 0.45% |
Expected Yearly | 1.85% | 4.36% |
Kelly Criterion | 4.16% | 89.25% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.67% | -0.01% |
Expected Shortfall (cVaR) | -1.67% | -0.01% |
Max Consecutive Wins | 9 | 357 |
Max Consecutive Losses | 6 | 43 |
Gain/Pain Ratio | 0.05 | 41.8 |
Gain/Pain (1M) | 0.26 | 41.8 |
Payoff Ratio | 1.12 | 4.7 |
Profit Factor | 1.05 | 42.8 |
Common Sense Ratio | 1.31 | 675.87 |
CPC Index | 0.58 | 183.38 |
Tail Ratio | 1.25 | 15.79 |
Outlier Win Ratio | 1.93 | 46.52 |
Outlier Loss Ratio | 1.75 | 184.92 |
MTD | -22.06% | 1.17% |
3M | -25.9% | 3.2% |
6M | -26.1% | 5.82% |
YTD | -25.33% | 2.17% |
1Y | -25.02% | 9.24% |
3Y (ann.) | -0.69% | 5.74% |
5Y (ann.) | 2.4% | 5.68% |
10Y (ann.) | 2.4% | 5.68% |
All-time (ann.) | 2.4% | 5.68% |
Best Day | 6.75% | 0.06% |
Worst Day | -13.35% | -0.01% |
Best Month | 10.13% | 1.17% |
Worst Month | -22.06% | -0.24% |
Best Year | 27.38% | 8.39% |
Worst Year | -25.33% | 2.17% |
Avg. Drawdown | -3.22% | -0.25% |
Avg. Drawdown Days | 46 | 93 |
Recovery Factor | 0.31 | 59.51 |
Ulcer Index | 0.06 | 0.0 |
Serenity Index | 0.16 | 34.62 |
Avg. Up Month | 2.52% | 0.43% |
Avg. Down Month | -0.63% | -0.1% |
Win Days | 49.28% | 91.13% |
Win Month | 53.19% | 91.49% |
Win Quarter | 43.75% | 93.75% |
Win Year | 60.0% | 100.0% |
Beta | -6.06 | - |
Alpha | 0.37 | - |
Correlation | -9.7% | - |
Treynor Ratio | -1.58% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2018 | 3.39 | 13.61 | 4.02 | + |
2019 | 3.05 | 4.43 | 1.45 | + |
2020 | 4.91 | 27.38 | 5.57 | + |
2021 | 8.39 | -2.88 | -0.34 | - |
2022 | 2.17 | -25.33 | -11.66 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2022-02-25 | -31.18 | 479 |
2020-03-13 | 2020-08-21 | -14.94 | 161 |
2018-09-11 | 2019-05-02 | -7.07 | 233 |
2019-09-04 | 2020-02-25 | -6.63 | 174 |
2020-09-30 | 2020-11-02 | -3.98 | 33 |
2018-05-04 | 2018-06-15 | -3.68 | 42 |
2019-06-06 | 2019-07-31 | -3.40 | 55 |
2020-03-02 | 2020-03-05 | -2.49 | 3 |
2020-08-27 | 2020-09-07 | -2.40 | 11 |
2018-06-20 | 2018-07-19 | -2.06 | 29 |