Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 37.34% | 35.43% |
CAGR﹪ | 5.2% | 4.96% |
Sharpe | 0.42 | 23.7 |
Prob. Sharpe Ratio | 81.92% | 100.0% |
Smart Sharpe | 0.4 | 22.54 |
Sortino | 0.67 | 222.8 |
Smart Sortino | 0.64 | 211.89 |
Sortino/√2 | 0.47 | 157.54 |
Smart Sortino/√2 | 0.45 | 149.83 |
Omega | 1.11 | 1.11 |
Max Drawdown | -26.1% | -0.4% |
Longest DD Days | 1254 | 120 |
Volatility (ann.) | 23.2% | 0.29% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.2 | 12.42 |
Skew | 2.7 | 0.18 |
Kurtosis | 101.1 | -0.29 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.58% | 0.55% |
Expected Yearly | 4.64% | 4.43% |
Kelly Criterion | 15.64% | 91.04% |
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 | 714 |
Max Consecutive Losses | 7 | 43 |
Gain/Pain Ratio | 0.11 | 59.42 |
Gain/Pain (1M) | 0.65 | 59.42 |
Payoff Ratio | 1.49 | 5.78 |
Profit Factor | 1.11 | 60.42 |
Common Sense Ratio | 1.1 | 1160.76 |
CPC Index | 0.82 | 322.75 |
Tail Ratio | 0.99 | 19.21 |
Outlier Win Ratio | 2.31 | 61.31 |
Outlier Loss Ratio | 2.06 | 248.33 |
MTD | 1.74% | 0.19% |
3M | -5.81% | 2.06% |
6M | 0.29% | 5.97% |
YTD | -11.7% | 3.6% |
1Y | -0.04% | 10.51% |
3Y (ann.) | 20.81% | 9.93% |
5Y (ann.) | 3.15% | 5.41% |
10Y (ann.) | 5.2% | 4.96% |
All-time (ann.) | 5.2% | 4.96% |
Best Day | 24.17% | 0.07% |
Worst Day | -19.56% | -0.01% |
Best Month | 23.84% | 1.43% |
Worst Month | -17.25% | -0.24% |
Best Year | 25.78% | 9.51% |
Worst Year | -17.42% | 0.73% |
Avg. Drawdown | -4.51% | -0.25% |
Avg. Drawdown Days | 85 | 93 |
Recovery Factor | 1.43 | 88.65 |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | 0.64 | 66.1 |
Avg. Up Month | 3.8% | 0.54% |
Avg. Down Month | -2.34% | -0.16% |
Win Days | 49.55% | 92.36% |
Win Month | 52.73% | 92.73% |
Win Quarter | 45.0% | 95.0% |
Win Year | 57.14% | 100.0% |
Beta | 0.98 | - |
Alpha | 0.03 | - |
Correlation | 1.21% | - |
Treynor Ratio | 37.94% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 1.99 | 2.65 | 1.34 | + |
2020 | 4.91 | 25.78 | 5.25 | + |
2021 | 8.39 | -1.34 | -0.16 | - |
2022 | 2.17 | -17.42 | -8.02 | - |
2023 | 0.73 | 23.84 | 32.66 | + |
2024 | 9.51 | 19.40 | 2.04 | + |
2025 | 3.60 | -11.70 | -3.25 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2024-04-10 | -26.10 | 1254 |
2025-01-06 | 2025-05-12 | -19.16 | 126 |
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 |