Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 35.33% | 98.65% |
CAGR﹪ | 5.99% | 14.11% |
Sharpe | -9.38 | -4.96 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.17 | -4.86 |
Sortino | -9.8 | -6.31 |
Smart Sortino | -9.58 | -6.17 |
Sortino/√2 | -6.93 | -4.46 |
Smart Sortino/√2 | -6.78 | -4.37 |
Omega | 0.11 | 0.11 |
Max Drawdown | -26.1% | -51.26% |
Longest DD Days | 1254 | 917 |
Volatility (ann.) | 21.09% | 36.66% |
R^2 | 0.24 | 0.24 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.23 | 0.28 |
Skew | 3.47 | 3.37 |
Kurtosis | 181.64 | 169.69 |
Expected Daily | 0.04% | 0.08% |
Expected Monthly | 0.72% | 1.65% |
Expected Yearly | 5.17% | 12.12% |
Kelly Criterion | -4.11% | 20.51% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.14% | -3.69% |
Expected Shortfall (cVaR) | -2.14% | -3.69% |
Max Consecutive Wins | 8 | 11 |
Max Consecutive Losses | 7 | 6 |
Gain/Pain Ratio | 0.16 | 0.25 |
Gain/Pain (1M) | 0.91 | 1.4 |
Payoff Ratio | 0.92 | 1.12 |
Profit Factor | 1.16 | 1.25 |
Common Sense Ratio | 1.34 | 1.21 |
CPC Index | 0.53 | 0.81 |
Tail Ratio | 1.16 | 0.96 |
Outlier Win Ratio | 4.57 | 3.27 |
Outlier Loss Ratio | 5.29 | 3.04 |
MTD | 0.26% | 3.22% |
3M | 4.19% | 8.94% |
6M | 28.53% | 64.62% |
YTD | 3.79% | 11.85% |
1Y | 28.53% | 64.62% |
3Y (ann.) | 2.25% | 5.32% |
5Y (ann.) | 6.11% | 13.65% |
10Y (ann.) | 5.99% | 14.11% |
All-time (ann.) | 5.99% | 14.11% |
Best Day | 24.17% | 40.82% |
Worst Day | -19.56% | -33.28% |
Best Month | 23.84% | 47.19% |
Worst Month | -17.25% | -30.02% |
Best Year | 25.78% | 47.19% |
Worst Year | -17.42% | -34.42% |
Avg. Drawdown | -3.17% | -2.85% |
Avg. Drawdown Days | 83 | 30 |
Recovery Factor | 1.35 | 1.92 |
Ulcer Index | 0.05 | 0.09 |
Serenity Index | -17.01 | -9.83 |
Avg. Up Month | 3.13% | 5.22% |
Avg. Down Month | -8.73% | -18.16% |
Win Days | 50.06% | 58.04% |
Win Month | 59.52% | 73.81% |
Win Quarter | 50.0% | 81.25% |
Win Year | 66.67% | 83.33% |
Beta | 0.28 | - |
Alpha | 0.04 | - |
Correlation | 49.01% | - |
Treynor Ratio | -2357.8% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 31.58 | 2.75 | 0.09 | - |
2020 | 14.82 | 25.78 | 1.74 | + |
2021 | 21.79 | -1.34 | -0.06 | - |
2022 | -34.42 | -17.42 | 0.51 | + |
2023 | 47.19 | 23.84 | 0.51 | - |
2024 | 11.85 | 3.79 | 0.32 | - |
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 |
2024-04-17 | 2024-04-25 | -2.66 | 8 |
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 |