Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 94.0% | 98.0% |
Cumulative Return | 24.08% | 24.52% |
CAGR﹪ | 7.93% | 8.07% |
Sharpe | -13.33 | -175.67 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -12.39 | -163.18 |
Sortino | -12.27 | -15.82 |
Smart Sortino | -11.39 | -14.69 |
Sortino/√2 | -8.67 | -11.18 |
Smart Sortino/√2 | -8.06 | -10.39 |
Omega | 0.05 | 0.05 |
Max Drawdown | -14.95% | -1.26% |
Longest DD Days | 264 | 104 |
Volatility (ann.) | 14.99% | 1.14% |
R^2 | 0.31 | 0.31 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.53 | 6.41 |
Skew | 5.42 | 9.17 |
Kurtosis | 262.06 | 189.46 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.62% | 0.63% |
Expected Yearly | 5.54% | 5.64% |
Kelly Criterion | 39.34% | 71.42% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.52% | -0.09% |
Expected Shortfall (cVaR) | -1.52% | -0.09% |
Max Consecutive Wins | 8 | 95 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | 0.46 | 5.35 |
Gain/Pain (1M) | 1.73 | 22.91 |
Payoff Ratio | 1.7 | 0.94 |
Profit Factor | 1.46 | 6.35 |
Common Sense Ratio | 2.07 | 18.61 |
CPC Index | 1.54 | 5.14 |
Tail Ratio | 1.42 | 2.93 |
Outlier Win Ratio | 2.07 | 8.33 |
Outlier Loss Ratio | 1.68 | 8.23 |
MTD | 0.81% | 0.79% |
3M | 3.83% | 3.73% |
6M | 6.75% | 7.14% |
YTD | 4.39% | 4.45% |
1Y | 7.79% | 8.1% |
3Y (ann.) | 7.93% | 8.07% |
5Y (ann.) | 7.93% | 8.07% |
10Y (ann.) | 7.93% | 8.07% |
All-time (ann.) | 7.93% | 8.07% |
Best Day | 18.08% | 1.4% |
Worst Day | -13.96% | -0.48% |
Best Month | 17.8% | 1.5% |
Worst Month | -13.68% | -0.56% |
Best Year | 10.05% | 9.88% |
Worst Year | 2.77% | 2.97% |
Avg. Drawdown | -0.39% | -0.07% |
Avg. Drawdown Days | 9 | 6 |
Recovery Factor | 1.61 | 19.48 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | -97.24 | -400.15 |
Avg. Up Month | 1.2% | 0.7% |
Avg. Down Month | -0.31% | -0.48% |
Win Days | 61.81% | 86.16% |
Win Month | 91.43% | 94.29% |
Win Quarter | 92.31% | 92.31% |
Win Year | 100.0% | 100.0% |
Beta | 7.26 | - |
Alpha | -0.49 | - |
Correlation | 55.38% | - |
Treynor Ratio | -93.09% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.97 | 2.77 | 0.93 | - |
2022 | 9.88 | 10.05 | 1.02 | + |
2023 | 5.36 | 5.09 | 0.95 | - |
2024 | 4.45 | 4.39 | 0.99 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-07-08 | 2022-03-29 | -14.95 | 264 |
2022-04-05 | 2022-06-14 | -3.12 | 70 |
2023-08-03 | 2023-11-21 | -1.44 | 110 |
2023-11-27 | 2023-12-28 | -1.33 | 31 |
2021-07-01 | 2021-07-02 | -0.53 | 1 |
2022-12-02 | 2022-12-06 | -0.34 | 4 |
2022-09-16 | 2022-09-23 | -0.33 | 7 |
2024-03-27 | 2024-04-01 | -0.32 | 5 |
2022-09-28 | 2022-09-29 | -0.32 | 1 |
2022-07-01 | 2022-07-05 | -0.29 | 4 |