Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | 55.7% | 43.55% |
CAGR﹪ | 11.16% | 9.02% |
Sharpe | 0.93 | 4.15 |
Prob. Sharpe Ratio | 97.38% | 100.0% |
Smart Sharpe | 0.86 | 3.85 |
Sortino | 1.5 | 112.77 |
Smart Sortino | 1.39 | 104.62 |
Sortino/√2 | 1.06 | 79.74 |
Smart Sortino/√2 | 0.98 | 73.98 |
Omega | 1.79 | 1.79 |
Max Drawdown | -14.95% | -1.25% |
Longest DD Days | 264 | 209 |
Volatility (ann.) | 12.31% | 2.11% |
R^2 | 0.16 | 0.16 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.75 | 7.19 |
Skew | 6.5 | 17.9 |
Kurtosis | 385.35 | 327.42 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.87% | 0.71% |
Expected Yearly | 9.26% | 7.5% |
Kelly Criterion | 36.99% | 90.71% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.23% | -0.18% |
Expected Shortfall (cVaR) | -1.23% | -0.18% |
Max Consecutive Wins | 10 | 753 |
Max Consecutive Losses | 5 | 65 |
Gain/Pain Ratio | 0.79 | 28.71 |
Gain/Pain (1M) | 3.33 | 28.71 |
Payoff Ratio | 1.15 | 2.04 |
Profit Factor | 1.79 | 29.71 |
Common Sense Ratio | 2.75 | 115.03 |
CPC Index | 1.36 | 56.75 |
Tail Ratio | 1.54 | 3.87 |
Outlier Win Ratio | 2.04 | 7.9 |
Outlier Loss Ratio | 1.31 | 12.61 |
MTD | 0.87% | 0.11% |
3M | 5.07% | 0.8% |
6M | 10.02% | 2.45% |
YTD | 12.88% | 4.13% |
1Y | 20.35% | 8.45% |
3Y (ann.) | 12.35% | 7.7% |
5Y (ann.) | 11.16% | 9.02% |
10Y (ann.) | 11.16% | 9.02% |
All-time (ann.) | 11.16% | 9.02% |
Best Day | 18.08% | 2.47% |
Worst Day | -13.96% | -0.02% |
Best Month | 17.8% | 7.61% |
Worst Month | -13.68% | -0.52% |
Best Year | 15.93% | 11.92% |
Worst Year | 2.88% | 4.13% |
Avg. Drawdown | -0.29% | -1.25% |
Avg. Drawdown Days | 6 | 209 |
Recovery Factor | 3.73 | 34.7 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 9.88 | 29.56 |
Avg. Up Month | 1.31% | 0.79% |
Avg. Down Month | - | - |
Win Days | 66.28% | 93.77% |
Win Month | 94.12% | 94.12% |
Win Quarter | 94.44% | 94.44% |
Win Year | 100.0% | 100.0% |
Beta | 2.33 | - |
Alpha | -0.09 | - |
Correlation | 39.96% | - |
Treynor Ratio | 23.86% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.71 | 2.88 | 0.61 | - |
2022 | 11.92 | 10.05 | 0.84 | - |
2023 | 7.42 | 5.09 | 0.69 | - |
2024 | 9.51 | 15.93 | 1.67 | + |
2025 | 4.13 | 12.88 | 3.12 | + |
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 |
2024-09-03 | 2024-09-06 | -0.34 | 3 |
2022-12-02 | 2022-12-06 | -0.34 | 4 |
2022-09-16 | 2022-09-23 | -0.33 | 7 |
2025-01-08 | 2025-01-13 | -0.32 | 5 |
2022-09-28 | 2022-09-29 | -0.32 | 1 |