Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 0.32% | 0.93% |
CAGR﹪ | 0.14% | 0.42% |
Sharpe | -0.31 | -0.29 |
Prob. Sharpe Ratio | 6.31% | 6.6% |
Smart Sharpe | -0.29 | -0.27 |
Sortino | -0.44 | -0.41 |
Smart Sortino | -0.41 | -0.39 |
Sortino/√2 | -0.31 | -0.29 |
Smart Sortino/√2 | -0.29 | -0.27 |
Omega | 0.95 | 0.95 |
Max Drawdown | -18.59% | -18.63% |
Longest DD Days | 362 | 404 |
Volatility (ann.) | 16.86% | 16.79% |
R^2 | 0.79 | 0.79 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.01 | 0.02 |
Skew | 0.28 | 0.35 |
Kurtosis | 3.39 | 5.58 |
Expected Daily | 0.0% | 0.0% |
Expected Monthly | 0.01% | 0.03% |
Expected Yearly | 0.11% | 0.31% |
Kelly Criterion | -0.4% | 1.91% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.74% | -1.73% |
Expected Shortfall (cVaR) | -1.74% | -1.73% |
Max Consecutive Wins | 8 | 9 |
Max Consecutive Losses | 6 | 8 |
Gain/Pain Ratio | 0.02 | 0.02 |
Gain/Pain (1M) | 0.11 | 0.13 |
Payoff Ratio | 1.02 | 0.95 |
Profit Factor | 1.02 | 1.02 |
Common Sense Ratio | 0.96 | 0.91 |
CPC Index | 0.51 | 0.51 |
Tail Ratio | 0.94 | 0.89 |
Outlier Win Ratio | 3.5 | 3.73 |
Outlier Loss Ratio | 4.06 | 3.94 |
MTD | -1.0% | -0.99% |
3M | 4.81% | 5.48% |
6M | 4.27% | 5.17% |
YTD | -11.37% | -9.45% |
1Y | -2.75% | -3.16% |
3Y (ann.) | 0.14% | 0.42% |
5Y (ann.) | 0.14% | 0.42% |
10Y (ann.) | 0.14% | 0.42% |
All-time (ann.) | 0.14% | 0.42% |
Best Day | 6.08% | 7.13% |
Worst Day | -3.56% | -4.22% |
Best Month | 10.99% | 9.98% |
Worst Month | -6.68% | -6.87% |
Best Year | 17.66% | 15.56% |
Worst Year | -11.37% | -9.45% |
Avg. Drawdown | -6.02% | -7.52% |
Avg. Drawdown Days | 99 | 131 |
Recovery Factor | 0.02 | 0.05 |
Ulcer Index | 0.1 | 0.1 |
Serenity Index | -0.04 | -0.04 |
Avg. Up Month | 2.54% | 2.58% |
Avg. Down Month | -2.56% | -2.58% |
Win Days | 49.29% | 52.2% |
Win Month | 51.85% | 51.85% |
Win Quarter | 50.0% | 50.0% |
Win Year | 33.33% | 33.33% |
Beta | 0.9 | - |
Alpha | -0.0 | - |
Correlation | 89.13% | - |
Treynor Ratio | -7.46% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | -3.54 | -3.81 | 1.08 | - |
2024 | 15.56 | 17.66 | 1.14 | + |
2025 | -9.45 | -11.37 | 1.20 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-11-27 | 2025-10-22 | -18.59 | 329 |
2023-10-06 | 2024-10-02 | -18.00 | 362 |
2023-08-14 | 2023-10-03 | -6.52 | 50 |
2024-10-03 | 2024-11-13 | -2.87 | 41 |
2024-11-15 | 2024-11-20 | -1.16 | 5 |
2023-08-07 | 2023-08-08 | -0.67 | 1 |
2024-11-21 | 2024-11-22 | -0.25 | 1 |
2023-08-09 | 2023-08-10 | -0.06 | 1 |