Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 38.32% | 60.43% |
CAGR﹪ | 5.15% | 7.59% |
Sharpe | 0.46 | 4.33 |
Prob. Sharpe Ratio | 88.13% | 100.0% |
Smart Sharpe | 0.32 | 2.97 |
Sortino | 0.69 | 109.89 |
Smart Sortino | 0.47 | 75.41 |
Sortino/√2 | 0.49 | 77.7 |
Smart Sortino/√2 | 0.33 | 53.32 |
Omega | 1.15 | 1.15 |
Max Drawdown | -27.13% | -1.25% |
Longest DD Days | 1546 | 209 |
Volatility (ann.) | 12.69% | 1.71% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.19 | 6.05 |
Skew | 2.28 | 21.79 |
Kurtosis | 224.71 | 492.49 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.41% | 0.6% |
Expected Yearly | 4.74% | 6.99% |
Kelly Criterion | 20.58% | 87.54% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.29% | -0.15% |
Expected Shortfall (cVaR) | -1.29% | -0.15% |
Max Consecutive Wins | 9 | 727 |
Max Consecutive Losses | 10 | 65 |
Gain/Pain Ratio | 0.15 | 26.71 |
Gain/Pain (1M) | 0.68 | 26.71 |
Payoff Ratio | 1.54 | 3.06 |
Profit Factor | 1.15 | 27.71 |
Common Sense Ratio | 1.31 | 155.16 |
CPC Index | 0.92 | 76.73 |
Tail Ratio | 1.14 | 5.6 |
Outlier Win Ratio | 2.38 | 23.85 |
Outlier Loss Ratio | 1.91 | 53.31 |
MTD | 0.48% | 0.17% |
3M | 11.08% | 1.31% |
6M | 14.11% | 3.94% |
YTD | 13.06% | 4.19% |
1Y | 23.79% | 9.47% |
3Y (ann.) | 3.85% | 7.6% |
5Y (ann.) | 2.2% | 8.81% |
10Y (ann.) | 5.15% | 7.59% |
All-time (ann.) | 5.15% | 7.59% |
Best Day | 17.61% | 2.47% |
Worst Day | -14.34% | -0.02% |
Best Month | 12.23% | 7.61% |
Worst Month | -5.81% | -0.52% |
Best Year | 16.54% | 11.92% |
Worst Year | -5.45% | 2.84% |
Avg. Drawdown | -1.37% | -0.59% |
Avg. Drawdown Days | 44 | 132 |
Recovery Factor | 1.41 | 48.16 |
Ulcer Index | 0.05 | 0.0 |
Serenity Index | 0.55 | 48.99 |
Avg. Up Month | 2.11% | 0.54% |
Avg. Down Month | -0.58% | -0.21% |
Win Days | 51.81% | 90.62% |
Win Month | 55.7% | 91.14% |
Win Quarter | 62.96% | 92.59% |
Win Year | 71.43% | 100.0% |
Beta | -0.47 | - |
Alpha | 0.09 | - |
Correlation | -6.36% | - |
Treynor Ratio | -81.24% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 2.84 | 16.54 | 5.83 | + |
2020 | 4.91 | 7.29 | 1.48 | + |
2021 | 8.39 | -5.45 | -0.65 | - |
2022 | 11.92 | 3.31 | 0.28 | - |
2023 | 7.42 | -0.15 | -0.02 | - |
2024 | 9.51 | 0.32 | 0.03 | - |
2025 | 4.19 | 13.06 | 3.12 | + |
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 |