Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 15.94% | 155.33% |
CAGR﹪ | 2.33% | 15.72% |
Sharpe | -2.65 | -2.49 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.49 | -2.34 |
Sortino | -3.34 | -3.11 |
Smart Sortino | -3.13 | -2.92 |
Sortino/√2 | -2.36 | -2.2 |
Smart Sortino/√2 | -2.22 | -2.07 |
Omega | 0.56 | 0.56 |
Max Drawdown | -57.2% | -33.79% |
Longest DD Days | 1105 | 708 |
Volatility (ann.) | 24.16% | 20.81% |
R^2 | 0.03 | 0.03 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.04 | 0.47 |
Skew | -0.54 | -0.25 |
Kurtosis | 52.38 | 13.85 |
Expected Daily | 0.01% | 0.06% |
Expected Monthly | 0.19% | 1.21% |
Expected Yearly | 2.13% | 14.33% |
Kelly Criterion | -3.13% | 7.55% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.48% | -2.09% |
Expected Shortfall (cVaR) | -2.48% | -2.09% |
Max Consecutive Wins | 8 | 8 |
Max Consecutive Losses | 11 | 6 |
Gain/Pain Ratio | 0.05 | 0.18 |
Gain/Pain (1M) | 0.19 | 1.0 |
Payoff Ratio | 0.94 | 0.94 |
Profit Factor | 1.05 | 1.18 |
Common Sense Ratio | 1.13 | 1.16 |
CPC Index | 0.49 | 0.61 |
Tail Ratio | 1.08 | 0.99 |
Outlier Win Ratio | 4.02 | 4.29 |
Outlier Loss Ratio | 4.22 | 4.08 |
MTD | 0.9% | 0.35% |
3M | 22.63% | 23.39% |
6M | 47.15% | 4.89% |
YTD | 47.01% | 6.13% |
1Y | 39.71% | 13.33% |
3Y (ann.) | -4.8% | 16.72% |
5Y (ann.) | 0.99% | 15.17% |
10Y (ann.) | 2.33% | 15.72% |
All-time (ann.) | 2.33% | 15.72% |
Best Day | 20.8% | 9.52% |
Worst Day | -20.82% | -11.98% |
Best Month | 27.99% | 12.82% |
Worst Month | -15.69% | -12.35% |
Best Year | 47.01% | 29.88% |
Worst Year | -22.76% | -18.32% |
Avg. Drawdown | -5.54% | -1.8% |
Avg. Drawdown Days | 86 | 16 |
Recovery Factor | 0.28 | 4.6 |
Ulcer Index | 0.29 | 0.08 |
Serenity Index | -0.09 | 0.53 |
Avg. Up Month | 4.15% | 4.19% |
Avg. Down Month | -5.92% | -4.19% |
Win Days | 49.97% | 55.23% |
Win Month | 44.87% | 66.67% |
Win Quarter | 55.56% | 77.78% |
Win Year | 42.86% | 85.71% |
Beta | 0.2 | - |
Alpha | 0.02 | - |
Correlation | 17.36% | - |
Treynor Ratio | -417.3% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 21.23 | 23.23 | 1.09 | + |
2020 | 17.99 | -10.63 | -0.59 | - |
2021 | 29.88 | -5.79 | -0.19 | - |
2022 | -18.32 | 10.38 | -0.57 | + |
2023 | 26.29 | -22.76 | -0.87 | - |
2024 | 25.55 | -10.85 | -0.42 | - |
2025 | 6.13 | 47.01 | 7.67 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-06-29 | 2025-07-08 | -57.20 | 1105 |
2020-01-14 | 2022-05-23 | -44.28 | 860 |
2022-05-25 | 2022-06-08 | -12.34 | 14 |
2019-07-16 | 2019-09-16 | -5.47 | 62 |
2019-05-06 | 2019-06-11 | -3.75 | 36 |
2019-03-22 | 2019-04-17 | -3.53 | 26 |
2019-11-06 | 2019-12-11 | -2.69 | 35 |
2019-02-12 | 2019-02-22 | -2.43 | 10 |
2019-09-23 | 2019-10-11 | -2.42 | 18 |
2019-04-24 | 2019-05-03 | -1.75 | 9 |