Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 83.0% |
Cumulative Return | 37.5% | -100.0% |
CAGR﹪ | 5.09% | -100.0% |
Sharpe | 0.46 | -0.23 |
Prob. Sharpe Ratio | 87.77% | 23.36% |
Smart Sharpe | 0.31 | -0.15 |
Sortino | 0.68 | -0.24 |
Smart Sortino | 0.47 | -0.16 |
Sortino/√2 | 0.48 | -0.17 |
Smart Sortino/√2 | 0.33 | -0.11 |
Omega | 1.15 | 1.15 |
Max Drawdown | -27.13% | -100.0% |
Longest DD Days | 1546 | 707 |
Volatility (ann.) | 12.73% | 42.93% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.19 | -1.0 |
Skew | 2.27 | -31.55 |
Kurtosis | 223.49 | 1169.8 |
Expected Daily | 0.02% | -100.0% |
Expected Monthly | 0.41% | -100.0% |
Expected Yearly | 4.65% | -100.0% |
Kelly Criterion | 4.26% | -0.61% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.3% | -4.49% |
Expected Shortfall (cVaR) | -1.3% | -4.49% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 10 | 12 |
Gain/Pain Ratio | 0.15 | -0.11 |
Gain/Pain (1M) | 0.67 | -0.3 |
Payoff Ratio | 1.01 | 1.0 |
Profit Factor | 1.15 | 0.89 |
Common Sense Ratio | 1.31 | 0.93 |
CPC Index | 0.6 | 0.44 |
Tail Ratio | 1.14 | 1.05 |
Outlier Win Ratio | 6.48 | 4.23 |
Outlier Loss Ratio | 6.39 | 2.55 |
MTD | 0.44% | 0.0% |
3M | 11.21% | 0.0% |
6M | 13.13% | 0.0% |
YTD | 13.02% | 0.0% |
1Y | 23.91% | 0.0% |
3Y (ann.) | 3.89% | -100.0% |
5Y (ann.) | 2.2% | -100.0% |
10Y (ann.) | 5.09% | -100.0% |
All-time (ann.) | 5.09% | -100.0% |
Best Day | 17.61% | 10.7% |
Worst Day | -14.34% | -100.0% |
Best Month | 12.23% | 19.77% |
Worst Month | -5.81% | -100.0% |
Best Year | 15.9% | 29.27% |
Worst Year | -5.45% | -100.0% |
Avg. Drawdown | -1.33% | -14.28% |
Avg. Drawdown Days | 43 | 177 |
Recovery Factor | 1.38 | -1.0 |
Ulcer Index | 0.05 | 0.43 |
Serenity Index | 0.54 | -0.08 |
Avg. Up Month | 1.29% | 4.37% |
Avg. Down Month | -1.81% | -2.1% |
Win Days | 51.82% | 49.73% |
Win Month | 53.85% | 53.85% |
Win Quarter | 62.96% | 54.55% |
Win Year | 71.43% | 50.0% |
Beta | -0.02 | - |
Alpha | 0.06 | - |
Correlation | -8.09% | - |
Treynor Ratio | -1563.08% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | -5.95 | 15.90 | -2.67 | + |
2020 | 20.05 | 7.29 | 0.36 | - |
2021 | 0.36 | -5.45 | -15.31 | - |
2022 | -6.40 | 3.31 | -0.52 | + |
2023 | 29.27 | -0.15 | -0.01 | - |
2024 | -100.00 | 0.32 | -0.00 | + |
2025 | 0.00 | 13.02 | inf | + |
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 |
2019-02-12 | 2019-03-01 | -1.25 | 17 |
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 |