Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 23.52% | 20.59% |
CAGR﹪ | 10.21% | 9.0% |
Sharpe | 0.69 | 33.18 |
Prob. Sharpe Ratio | 84.78% | - |
Smart Sharpe | 0.68 | 32.65 |
Sortino | 1.01 | - |
Smart Sortino | 0.99 | - |
Sortino/√2 | 0.71 | - |
Smart Sortino/√2 | 0.7 | - |
Omega | 1.13 | 1.13 |
Max Drawdown | -23.77% | - |
Longest DD Days | - | - |
Volatility (ann.) | 15.69% | 0.26% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.43 | - |
Skew | 0.19 | 0.5 |
Kurtosis | 4.03 | -0.53 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.79% | 0.7% |
Expected Yearly | 7.3% | 6.44% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.58% | -0.01% |
Expected Shortfall (cVaR) | -1.58% | -0.01% |
Max Consecutive Wins | 8 | 553 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | 0.13 | - |
Gain/Pain (1M) | 0.59 | - |
Payoff Ratio | - | - |
Profit Factor | 1.13 | - |
Common Sense Ratio | 1.13 | - |
CPC Index | - | - |
Tail Ratio | 0.99 | 5.56 |
Outlier Win Ratio | 1.86 | 37.58 |
Outlier Loss Ratio | 1.9 | - |
MTD | -5.65% | 0.53% |
3M | -18.62% | 3.14% |
6M | -8.91% | 6.41% |
YTD | -16.09% | 2.59% |
1Y | -4.0% | 10.4% |
3Y (ann.) | 10.21% | 9.0% |
5Y (ann.) | 10.21% | 9.0% |
10Y (ann.) | 10.21% | 9.0% |
All-time (ann.) | 10.21% | 9.0% |
Best Day | 5.06% | 0.07% |
Worst Day | -4.13% | 0.0% |
Best Month | 13.51% | 1.43% |
Worst Month | -9.03% | 0.2% |
Best Year | 26.22% | 9.51% |
Worst Year | -16.09% | 2.59% |
Avg. Drawdown | -3.22% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.99 | - |
Ulcer Index | 0.08 | 0.0 |
Serenity Index | 0.22 | - |
Avg. Up Month | 3.8% | 0.61% |
Avg. Down Month | - | - |
Win Days | 53.2% | 100.0% |
Win Month | 62.96% | 100.0% |
Win Quarter | 66.67% | 100.0% |
Win Year | 66.67% | 100.0% |
Beta | -3.2 | - |
Alpha | 0.38 | - |
Correlation | -5.23% | - |
Treynor Ratio | -7.36% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 7.34 | 26.22 | 3.57 | + |
2024 | 9.51 | 16.64 | 1.75 | + |
2025 | 2.59 | -16.09 | -6.22 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-11-29 | 2025-03-19 | -23.77 | 110 |
2023-10-09 | 2024-09-20 | -17.44 | 347 |
2023-04-12 | 2023-06-29 | -7.67 | 78 |
2023-08-14 | 2023-10-05 | -6.46 | 52 |
2024-10-07 | 2024-11-22 | -6.18 | 46 |
2023-02-27 | 2023-03-16 | -2.51 | 17 |
2024-10-03 | 2024-10-04 | -2.01 | 1 |
2024-11-27 | 2024-11-28 | -1.97 | 1 |
2023-02-17 | 2023-02-22 | -1.16 | 5 |
2023-07-03 | 2023-07-04 | -1.16 | 1 |