Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 38.27% | 88.57% |
CAGR﹪ | 5.15% | 10.33% |
Sharpe | 0.46 | 21.17 |
Prob. Sharpe Ratio | 88.11% | 100.0% |
Smart Sharpe | 0.32 | 14.53 |
Sortino | 0.69 | - |
Smart Sortino | 0.47 | - |
Sortino/√2 | 0.49 | - |
Smart Sortino/√2 | 0.33 | - |
Omega | 1.15 | 1.15 |
Max Drawdown | -27.13% | - |
Longest DD Days | - | - |
Volatility (ann.) | 12.7% | 0.47% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.19 | - |
Skew | 2.28 | 8.05 |
Kurtosis | 224.5 | 121.21 |
Expected Daily | 0.02% | 0.04% |
Expected Monthly | 0.41% | 0.81% |
Expected Yearly | 4.74% | 9.48% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.29% | -0.01% |
Expected Shortfall (cVaR) | -1.29% | -0.01% |
Max Consecutive Wins | 9 | 1607 |
Max Consecutive Losses | 10 | 0 |
Gain/Pain Ratio | 0.15 | - |
Gain/Pain (1M) | 0.68 | - |
Payoff Ratio | - | - |
Profit Factor | 1.15 | - |
Common Sense Ratio | 1.31 | - |
CPC Index | - | - |
Tail Ratio | 1.14 | 4.72 |
Outlier Win Ratio | 2.41 | 20.6 |
Outlier Loss Ratio | 1.85 | - |
MTD | 0.44% | 0.46% |
3M | 11.21% | 4.96% |
6M | 13.13% | 10.74% |
YTD | 13.02% | 10.94% |
1Y | 23.91% | 21.83% |
3Y (ann.) | 3.89% | 14.66% |
5Y (ann.) | 2.2% | 11.5% |
10Y (ann.) | 5.15% | 10.33% |
All-time (ann.) | 5.15% | 10.33% |
Best Day | 17.61% | 0.51% |
Worst Day | -14.34% | 0.0% |
Best Month | 12.23% | 1.83% |
Worst Month | -5.81% | 0.37% |
Best Year | 16.54% | 18.74% |
Worst Year | -5.45% | 4.97% |
Avg. Drawdown | -1.36% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.41 | - |
Ulcer Index | 0.05 | 0.0 |
Serenity Index | 0.55 | - |
Avg. Up Month | 2.12% | 0.79% |
Avg. Down Month | - | - |
Win Days | 51.81% | 100.0% |
Win Month | 55.7% | 100.0% |
Win Quarter | 62.96% | 100.0% |
Win Year | 71.43% | 100.0% |
Beta | -0.69 | - |
Alpha | 0.13 | - |
Correlation | -2.57% | - |
Treynor Ratio | -55.19% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 7.09 | 16.54 | 2.33 | + |
2020 | 4.97 | 7.29 | 1.47 | + |
2021 | 5.82 | -5.45 | -0.94 | - |
2022 | 9.41 | 3.31 | 0.35 | - |
2023 | 10.00 | -0.15 | -0.01 | - |
2024 | 18.74 | 0.32 | 0.02 | - |
2025 | 10.94 | 13.02 | 1.19 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-12-09 | 2025-03-04 | -27.13 | 1546 |
2020-02-25 | 2020-04-23 | -10.79 | 58 |
2025-03-21 | 2025-06-03 | -5.56 | 74 |
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 |
2025-06-05 | 2025-06-11 | -1.21 | 6 |
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 |