Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 97.27% | 102.69% |
CAGR﹪ | 55.83% | 58.61% |
Sharpe | -9.24 | -10.4 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.49 | -9.55 |
Sortino | -8.81 | -9.4 |
Smart Sortino | -8.09 | -8.63 |
Sortino/√2 | -6.23 | -6.65 |
Smart Sortino/√2 | -5.72 | -6.1 |
Omega | 0.22 | 0.22 |
Max Drawdown | -9.3% | -9.53% |
Longest DD Days | 204 | 180 |
Volatility (ann.) | 17.66% | 15.56% |
R^2 | 0.6 | 0.6 |
Information Ratio | -0.01 | -0.01 |
Calmar | 6.0 | 6.15 |
Skew | 0.3 | 0.28 |
Kurtosis | 2.36 | 4.34 |
Expected Daily | 0.17% | 0.18% |
Expected Monthly | 3.64% | 3.79% |
Expected Yearly | 25.42% | 26.55% |
Kelly Criterion | 17.87% | 23.49% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.65% | -1.43% |
Expected Shortfall (cVaR) | -1.65% | -1.43% |
Max Consecutive Wins | 11 | 10 |
Max Consecutive Losses | 6 | 8 |
Gain/Pain Ratio | 0.55 | 0.7 |
Gain/Pain (1M) | 7.63 | 11.74 |
Payoff Ratio | 1.07 | 1.07 |
Profit Factor | 1.55 | 1.7 |
Common Sense Ratio | 2.06 | 2.13 |
CPC Index | 0.95 | 1.1 |
Tail Ratio | 1.33 | 1.25 |
Outlier Win Ratio | 3.09 | 3.65 |
Outlier Loss Ratio | 3.29 | 3.79 |
MTD | 9.09% | 11.55% |
3M | 9.51% | 11.97% |
6M | 12.08% | 14.59% |
YTD | 11.29% | 12.29% |
1Y | 34.85% | 36.73% |
3Y (ann.) | 55.83% | 58.61% |
5Y (ann.) | 55.83% | 58.61% |
10Y (ann.) | 55.83% | 58.61% |
All-time (ann.) | 55.83% | 58.61% |
Best Day | 5.4% | 6.12% |
Worst Day | -4.36% | -3.78% |
Best Month | 16.43% | 16.41% |
Worst Month | -4.03% | -2.61% |
Best Year | 43.56% | 46.23% |
Worst Year | 11.29% | 12.29% |
Avg. Drawdown | -1.97% | -1.44% |
Avg. Drawdown Days | 17 | 12 |
Recovery Factor | 10.45 | 10.77 |
Ulcer Index | 0.04 | 0.03 |
Serenity Index | -25.29 | -29.25 |
Avg. Up Month | 5.78% | 5.77% |
Avg. Down Month | -1.9% | -1.31% |
Win Days | 57.62% | 60.47% |
Win Month | 73.68% | 73.68% |
Win Quarter | 85.71% | 85.71% |
Win Year | 100.0% | 100.0% |
Beta | 0.88 | - |
Alpha | 0.04 | - |
Correlation | 77.36% | - |
Treynor Ratio | -686.27% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 23.44 | 23.47 | 1.00 | + |
2023 | 46.23 | 43.56 | 0.94 | - |
2024 | 12.29 | 11.29 | 0.92 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-08-14 | 2024-03-05 | -9.30 | 204 |
2023-04-14 | 2023-07-03 | -6.69 | 80 |
2022-10-13 | 2022-11-24 | -6.60 | 42 |
2022-09-19 | 2022-10-04 | -5.44 | 15 |
2022-12-22 | 2023-01-03 | -3.46 | 12 |
2023-01-05 | 2023-01-25 | -3.04 | 20 |
2023-03-21 | 2023-04-04 | -2.59 | 14 |
2023-07-20 | 2023-08-02 | -2.08 | 13 |
2023-07-06 | 2023-07-07 | -1.74 | 1 |
2022-10-07 | 2022-10-10 | -1.72 | 3 |