Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 36.26% | 40.08% |
CAGR﹪ | 6.13% | 6.69% |
Sharpe | 0.53 | 0.77 |
Prob. Sharpe Ratio | 84.61% | 93.47% |
Smart Sharpe | 0.52 | 0.75 |
Sortino | 0.85 | 1.38 |
Smart Sortino | 0.83 | 1.35 |
Sortino/√2 | 0.6 | 0.98 |
Smart Sortino/√2 | 0.59 | 0.96 |
Omega | 1.16 | 1.16 |
Max Drawdown | -26.1% | -15.67% |
Longest DD Days | 1254 | 707 |
Volatility (ann.) | 21.07% | 14.12% |
R^2 | 0.19 | 0.19 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.23 | 0.43 |
Skew | 3.47 | 2.68 |
Kurtosis | 182.03 | 21.74 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.74% | 0.81% |
Expected Yearly | 5.29% | 5.78% |
Kelly Criterion | 11.56% | 6.65% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.14% | -1.42% |
Expected Shortfall (cVaR) | -2.14% | -1.42% |
Max Consecutive Wins | 8 | 7 |
Max Consecutive Losses | 7 | 9 |
Gain/Pain Ratio | 0.16 | 0.16 |
Gain/Pain (1M) | 0.93 | 0.95 |
Payoff Ratio | 1.3 | 1.21 |
Profit Factor | 1.16 | 1.16 |
Common Sense Ratio | 1.35 | 1.43 |
CPC Index | 0.75 | 0.69 |
Tail Ratio | 1.16 | 1.23 |
Outlier Win Ratio | 4.01 | 4.12 |
Outlier Loss Ratio | 3.4 | 3.68 |
MTD | 1.11% | -0.25% |
3M | 8.4% | 4.0% |
6M | 29.62% | 11.14% |
YTD | 4.67% | 2.09% |
1Y | 29.62% | 11.14% |
3Y (ann.) | 2.7% | 8.04% |
5Y (ann.) | 6.25% | 7.42% |
10Y (ann.) | 6.13% | 6.69% |
All-time (ann.) | 6.13% | 6.69% |
Best Day | 24.17% | 8.28% |
Worst Day | -19.56% | -3.01% |
Best Month | 23.84% | 17.19% |
Worst Month | -17.25% | -5.72% |
Best Year | 25.78% | 20.05% |
Worst Year | -17.42% | -5.87% |
Avg. Drawdown | -3.0% | -3.95% |
Avg. Drawdown Days | 80 | 155 |
Recovery Factor | 1.39 | 2.56 |
Ulcer Index | 0.05 | 0.07 |
Serenity Index | 0.93 | 0.42 |
Avg. Up Month | 3.76% | 3.21% |
Avg. Down Month | -1.79% | -2.66% |
Win Days | 50.0% | 48.95% |
Win Month | 59.52% | 54.76% |
Win Quarter | 50.0% | 50.0% |
Win Year | 66.67% | 83.33% |
Beta | 0.65 | - |
Alpha | 0.04 | - |
Correlation | 43.86% | - |
Treynor Ratio | 55.41% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | -5.87 | 2.59 | -0.44 | + |
2020 | 20.05 | 25.78 | 1.29 | + |
2021 | 0.36 | -1.34 | -3.77 | - |
2022 | 11.14 | -17.42 | -1.56 | - |
2023 | 8.87 | 23.84 | 2.69 | + |
2024 | 2.09 | 4.67 | 2.24 | + |
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 |
2024-04-17 | 2024-04-24 | -1.83 | 7 |