Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 18.11% | 22.9% |
CAGR﹪ | 3.29% | 4.09% |
Sharpe | -15.5 | -21.48 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -11.6 | -16.07 |
Sortino | -12.25 | -13.05 |
Smart Sortino | -9.17 | -9.77 |
Sortino/√2 | -8.66 | -9.23 |
Smart Sortino/√2 | -6.48 | -6.91 |
Omega | 0.04 | 0.04 |
Max Drawdown | -27.13% | -26.91% |
Longest DD Days | 1205 | 837 |
Volatility (ann.) | 13.21% | 9.51% |
R^2 | 0.51 | 0.51 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.12 | 0.15 |
Skew | 2.16 | -9.15 |
Kurtosis | 237.92 | 232.21 |
Expected Daily | 0.01% | 0.02% |
Expected Monthly | 0.27% | 0.33% |
Expected Yearly | 2.81% | 3.5% |
Kelly Criterion | 3.35% | 8.11% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.35% | -0.97% |
Expected Shortfall (cVaR) | -1.35% | -0.97% |
Max Consecutive Wins | 9 | 16 |
Max Consecutive Losses | 10 | 15 |
Gain/Pain Ratio | 0.11 | 0.17 |
Gain/Pain (1M) | 0.52 | 0.48 |
Payoff Ratio | 0.94 | 0.91 |
Profit Factor | 1.11 | 1.17 |
Common Sense Ratio | 1.28 | 1.34 |
CPC Index | 0.56 | 0.59 |
Tail Ratio | 1.15 | 1.15 |
Outlier Win Ratio | 4.32 | 5.8 |
Outlier Loss Ratio | 4.26 | 5.51 |
MTD | -1.74% | -2.03% |
3M | -2.51% | -2.37% |
6M | -0.25% | 0.5% |
YTD | -2.52% | -2.27% |
1Y | -3.33% | -2.43% |
3Y (ann.) | -0.87% | -0.1% |
5Y (ann.) | 3.15% | 3.97% |
10Y (ann.) | 3.29% | 4.09% |
All-time (ann.) | 3.29% | 4.09% |
Best Day | 17.61% | 4.82% |
Worst Day | -14.34% | -13.8% |
Best Month | 9.16% | 8.42% |
Worst Month | -5.81% | -15.17% |
Best Year | 15.78% | 16.62% |
Worst Year | -5.45% | -4.94% |
Avg. Drawdown | -1.44% | -1.0% |
Avg. Drawdown Days | 43 | 30 |
Recovery Factor | 0.67 | 0.85 |
Ulcer Index | 0.04 | 0.04 |
Serenity Index | -16.13 | -12.59 |
Avg. Up Month | 1.95% | 1.96% |
Avg. Down Month | -1.52% | -1.82% |
Win Days | 53.16% | 56.34% |
Win Month | 53.23% | 56.45% |
Win Quarter | 61.9% | 61.9% |
Win Year | 50.0% | 66.67% |
Beta | 0.99 | - |
Alpha | -0.0 | - |
Correlation | 71.22% | - |
Treynor Ratio | -689.5% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 16.62 | 15.78 | 0.95 | - |
2020 | 8.54 | 7.29 | 0.85 | - |
2021 | -4.94 | -5.45 | 1.10 | - |
2022 | 3.72 | 3.31 | 0.89 | - |
2023 | 0.76 | -0.15 | -0.19 | - |
2024 | -2.27 | -2.52 | 1.11 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-12-09 | 2024-03-28 | -27.13 | 1205 |
2020-02-25 | 2020-04-23 | -10.79 | 58 |
2019-05-06 | 2019-06-19 | -3.34 | 44 |
2020-06-22 | 2020-11-12 | -2.42 | 143 |
2019-02-07 | 2019-03-11 | -1.33 | 32 |
2019-03-22 | 2019-04-15 | -1.15 | 24 |
2020-05-27 | 2020-06-18 | -1.13 | 22 |
2019-09-11 | 2019-10-07 | -1.09 | 26 |
2019-07-26 | 2019-08-21 | -0.97 | 26 |
2019-11-06 | 2019-11-22 | -0.90 | 16 |