Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 37.09% | 52.15% |
CAGR﹪ | 5.26% | 7.06% |
Sharpe | 0.42 | 25.6 |
Prob. Sharpe Ratio | 81.93% | - |
Smart Sharpe | 0.4 | 24.34 |
Sortino | 0.68 | - |
Smart Sortino | 0.65 | - |
Sortino/√2 | 0.48 | - |
Smart Sortino/√2 | 0.46 | - |
Omega | 1.11 | 1.11 |
Max Drawdown | -26.1% | - |
Longest DD Days | - | - |
Volatility (ann.) | 23.26% | 0.38% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.2 | - |
Skew | 2.73 | 1.02 |
Kurtosis | 102.4 | -0.4 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.59% | 0.78% |
Expected Yearly | 4.61% | 6.18% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.37% | -0.0% |
Expected Shortfall (cVaR) | -2.37% | -0.0% |
Max Consecutive Wins | 8 | 1101 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | 0.11 | - |
Gain/Pain (1M) | 0.66 | - |
Payoff Ratio | - | - |
Profit Factor | 1.11 | - |
Common Sense Ratio | 1.11 | - |
CPC Index | - | - |
Tail Ratio | 1.0 | 5.08 |
Outlier Win Ratio | 2.41 | 49.52 |
Outlier Loss Ratio | 2.11 | - |
MTD | -1.93% | 0.24% |
3M | -11.86% | 5.56% |
6M | 4.21% | 11.11% |
YTD | -11.86% | 5.56% |
1Y | 1.03% | 20.68% |
3Y (ann.) | 22.52% | 20.03% |
5Y (ann.) | 2.4% | 7.13% |
10Y (ann.) | 5.26% | 7.06% |
All-time (ann.) | 5.26% | 7.06% |
Best Day | 24.17% | 0.1% |
Worst Day | -19.56% | 0.0% |
Best Month | 23.84% | 1.83% |
Worst Month | -17.25% | 0.24% |
Best Year | 25.78% | 18.74% |
Worst Year | -17.42% | 1.23% |
Avg. Drawdown | -4.45% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.42 | - |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | 0.73 | - |
Avg. Up Month | 3.86% | 0.75% |
Avg. Down Month | - | - |
Win Days | 49.4% | 100.0% |
Win Month | 51.85% | 100.0% |
Win Quarter | 45.0% | 100.0% |
Win Year | 57.14% | 100.0% |
Beta | 2.55 | - |
Alpha | -0.15 | - |
Correlation | 4.11% | - |
Treynor Ratio | 14.55% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 6.50 | 2.65 | 0.41 | - |
2020 | 4.97 | 25.78 | 5.19 | + |
2021 | 5.82 | -1.34 | -0.23 | - |
2022 | 1.36 | -17.42 | -12.77 | - |
2023 | 1.23 | 23.84 | 19.39 | + |
2024 | 18.74 | 19.40 | 1.04 | + |
2025 | 5.56 | -11.86 | -2.13 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2024-04-10 | -26.10 | 1254 |
2025-01-06 | 2025-04-03 | -17.66 | 87 |
2024-11-26 | 2025-01-03 | -15.63 | 38 |
2024-04-17 | 2024-11-12 | -14.07 | 209 |
2020-03-19 | 2020-08-25 | -9.70 | 159 |
2019-09-04 | 2020-02-25 | -6.60 | 174 |
2020-09-30 | 2020-10-30 | -3.12 | 30 |
2020-03-13 | 2020-03-18 | -3.07 | 5 |
2019-02-15 | 2019-05-02 | -2.97 | 76 |
2019-06-07 | 2019-08-02 | -2.64 | 56 |