Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 29.05% | 59.52% |
CAGR﹪ | 4.13% | 7.7% |
Sharpe | 0.38 | 4.34 |
Prob. Sharpe Ratio | 83.35% | 100.0% |
Smart Sharpe | 0.26 | 2.96 |
Sortino | 0.57 | 110.02 |
Smart Sortino | 0.39 | 75.15 |
Sortino/√2 | 0.4 | 77.8 |
Smart Sortino/√2 | 0.27 | 53.14 |
Omega | 1.12 | 1.12 |
Max Drawdown | -27.13% | -1.25% |
Longest DD Days | 1546 | 209 |
Volatility (ann.) | 12.8% | 1.73% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.15 | 6.13 |
Skew | 2.29 | 21.51 |
Kurtosis | 222.78 | 479.58 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.33% | 0.61% |
Expected Yearly | 3.71% | 6.9% |
Kelly Criterion | 19.87% | 87.27% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.31% | -0.15% |
Expected Shortfall (cVaR) | -1.31% | -0.15% |
Max Consecutive Wins | 9 | 685 |
Max Consecutive Losses | 10 | 65 |
Gain/Pain Ratio | 0.12 | 26.4 |
Gain/Pain (1M) | 0.56 | 26.4 |
Payoff Ratio | 1.53 | 3.12 |
Profit Factor | 1.12 | 27.4 |
Common Sense Ratio | 1.27 | 153.37 |
CPC Index | 0.89 | 77.21 |
Tail Ratio | 1.13 | 5.6 |
Outlier Win Ratio | 2.44 | 23.79 |
Outlier Loss Ratio | 1.98 | 55.39 |
MTD | 0.92% | 0.19% |
3M | 7.95% | 2.06% |
6M | 17.22% | 5.97% |
YTD | 5.48% | 3.6% |
1Y | 9.62% | 10.51% |
3Y (ann.) | 2.54% | 7.12% |
5Y (ann.) | 0.77% | 8.8% |
10Y (ann.) | 4.13% | 7.7% |
All-time (ann.) | 4.13% | 7.7% |
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 | -1.46% | -0.59% |
Avg. Drawdown Days | 48 | 132 |
Recovery Factor | 1.07 | 47.44 |
Ulcer Index | 0.06 | 0.0 |
Serenity Index | 0.41 | 47.57 |
Avg. Up Month | 2.04% | 0.56% |
Avg. Down Month | -0.58% | -0.21% |
Win Days | 51.53% | 90.36% |
Win Month | 54.55% | 90.91% |
Win Quarter | 61.54% | 92.31% |
Win Year | 71.43% | 100.0% |
Beta | -0.47 | - |
Alpha | 0.08 | - |
Correlation | -6.35% | - |
Treynor Ratio | -61.99% | - |
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 | 3.60 | 5.48 | 1.52 | + |
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 | 2025-05-12 | -5.56 | 52 |
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 |