Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 8.23% | 7.94% |
CAGR﹪ | 3.35% | 3.23% |
Sharpe | -7.87 | -6.11 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.47 | -5.8 |
Sortino | -7.53 | -6.26 |
Smart Sortino | -7.15 | -5.95 |
Sortino/√2 | -5.32 | -4.43 |
Smart Sortino/√2 | -5.05 | -4.21 |
Omega | 0.22 | 0.22 |
Max Drawdown | -51.39% | -51.16% |
Longest DD Days | 824 | 822 |
Volatility (ann.) | 25.68% | 32.68% |
R^2 | 0.49 | 0.49 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.07 | 0.06 |
Skew | -1.6 | -4.18 |
Kurtosis | 9.56 | 74.64 |
Expected Daily | 0.01% | 0.01% |
Expected Monthly | 0.26% | 0.25% |
Expected Yearly | 2.0% | 1.93% |
Kelly Criterion | 2.59% | -1.0% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.63% | -3.35% |
Expected Shortfall (cVaR) | -2.63% | -3.35% |
Max Consecutive Wins | 8 | 10 |
Max Consecutive Losses | 5 | 8 |
Gain/Pain Ratio | 0.05 | 0.07 |
Gain/Pain (1M) | 0.2 | 0.26 |
Payoff Ratio | 0.85 | 0.81 |
Profit Factor | 1.05 | 1.07 |
Common Sense Ratio | 0.98 | 0.96 |
CPC Index | 0.5 | 0.47 |
Tail Ratio | 0.93 | 0.9 |
Outlier Win Ratio | 3.6 | 3.38 |
Outlier Loss Ratio | 4.46 | 4.43 |
MTD | 2.37% | 2.18% |
3M | 12.57% | 12.48% |
6M | 13.65% | 13.36% |
YTD | 18.33% | 18.16% |
1Y | 52.67% | 52.86% |
3Y (ann.) | 3.35% | 3.23% |
5Y (ann.) | 3.35% | 3.23% |
10Y (ann.) | 3.35% | 3.23% |
All-time (ann.) | 3.35% | 3.23% |
Best Day | 6.59% | 17.29% |
Worst Day | -12.25% | -28.79% |
Best Month | 19.98% | 19.94% |
Worst Month | -20.25% | -23.03% |
Best Year | 51.32% | 50.81% |
Worst Year | -39.14% | -38.85% |
Avg. Drawdown | -6.97% | -5.51% |
Avg. Drawdown Days | 106 | 84 |
Recovery Factor | 0.16 | 0.16 |
Ulcer Index | 0.29 | 0.29 |
Serenity Index | -0.77 | -0.98 |
Avg. Up Month | 5.76% | 5.83% |
Avg. Down Month | -7.41% | -8.49% |
Win Days | 55.11% | 54.7% |
Win Month | 58.62% | 65.52% |
Win Quarter | 54.55% | 54.55% |
Win Year | 50.0% | 50.0% |
Beta | 0.55 | - |
Alpha | 0.02 | - |
Correlation | 69.97% | - |
Treynor Ratio | -1258.5% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -0.94 | -0.68 | 0.72 | + |
2022 | -38.85 | -39.14 | 1.01 | - |
2023 | 50.81 | 51.32 | 1.01 | + |
2024 | 18.16 | 18.33 | 1.01 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-12-03 | 2024-03-06 | -51.39 | 824 |
2024-04-23 | 2024-04-25 | -1.77 | 2 |
2024-04-05 | 2024-04-10 | -1.03 | 5 |
2024-03-14 | 2024-03-20 | -0.89 | 6 |
2024-03-22 | 2024-03-25 | -0.41 | 3 |
2024-03-07 | 2024-03-11 | -0.17 | 4 |
2024-04-11 | 2024-04-12 | -0.06 | 1 |
2024-04-17 | 2024-04-19 | -0.06 | 2 |