Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 37.59% | 22.03% |
CAGR﹪ | 6.33% | 3.91% |
Sharpe | 0.55 | 21.74 |
Prob. Sharpe Ratio | 85.22% | 100.0% |
Smart Sharpe | 0.54 | 21.27 |
Sortino | 0.88 | 167.66 |
Smart Sortino | 0.86 | 164.08 |
Sortino/√2 | 0.62 | 118.56 |
Smart Sortino/√2 | 0.61 | 116.02 |
Omega | 1.16 | 1.16 |
Max Drawdown | -26.1% | -0.4% |
Longest DD Days | 1254 | 120 |
Volatility (ann.) | 21.09% | 0.27% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.24 | 9.77 |
Skew | 3.47 | 0.18 |
Kurtosis | 181.86 | -0.28 |
Expected Daily | 0.04% | 0.02% |
Expected Monthly | 0.76% | 0.48% |
Expected Yearly | 5.46% | 3.37% |
Kelly Criterion | 8.65% | 88.01% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.14% | -0.0% |
Expected Shortfall (cVaR) | -2.14% | -0.0% |
Max Consecutive Wins | 8 | 445 |
Max Consecutive Losses | 7 | 43 |
Gain/Pain Ratio | 0.16 | 39.02 |
Gain/Pain (1M) | 0.95 | 39.02 |
Payoff Ratio | 1.2 | 5.14 |
Profit Factor | 1.16 | 40.02 |
Common Sense Ratio | 1.35 | 546.65 |
CPC Index | 0.7 | 185.23 |
Tail Ratio | 1.16 | 13.66 |
Outlier Win Ratio | 2.14 | 52.11 |
Outlier Loss Ratio | 1.79 | 171.65 |
MTD | 2.03% | 0.29% |
3M | 8.88% | 1.74% |
6M | 30.81% | 2.99% |
YTD | 5.63% | 2.24% |
1Y | 30.81% | 2.99% |
3Y (ann.) | 2.83% | 3.51% |
5Y (ann.) | 6.36% | 3.88% |
10Y (ann.) | 6.33% | 3.91% |
All-time (ann.) | 6.33% | 3.91% |
Best Day | 24.17% | 0.06% |
Worst Day | -19.56% | -0.01% |
Best Month | 23.84% | 1.17% |
Worst Month | -17.25% | -0.24% |
Best Year | 25.78% | 8.39% |
Worst Year | -17.42% | 0.73% |
Avg. Drawdown | -2.97% | -0.25% |
Avg. Drawdown Days | 80 | 93 |
Recovery Factor | 1.44 | 55.14 |
Ulcer Index | 0.05 | 0.0 |
Serenity Index | 0.96 | 29.12 |
Avg. Up Month | 3.15% | 0.47% |
Avg. Down Month | -2.34% | -0.16% |
Win Days | 50.12% | 89.96% |
Win Month | 59.52% | 90.48% |
Win Quarter | 50.0% | 93.75% |
Win Year | 66.67% | 100.0% |
Beta | -0.74 | - |
Alpha | 0.16 | - |
Correlation | -0.94% | - |
Treynor Ratio | -51.08% | - |
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 | 2.24 | 5.63 | 2.51 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2024-04-10 | -26.10 | 1254 |
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 |
2020-08-27 | 2020-09-03 | -2.51 | 7 |
2020-09-09 | 2020-09-21 | -1.98 | 12 |
2019-08-21 | 2019-08-28 | -1.57 | 7 |