Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 96.0% | 97.0% |
Cumulative Return | 28.58% | 28.55% |
CAGR﹪ | 10.45% | 10.44% |
Sharpe | -64.16 | -177.9 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -55.62 | -154.21 |
Sortino | -15.5 | -15.82 |
Smart Sortino | -13.43 | -13.72 |
Sortino/√2 | -10.96 | -11.19 |
Smart Sortino/√2 | -9.5 | -9.7 |
Omega | 0.01 | 0.01 |
Max Drawdown | -2.86% | -0.01% |
Longest DD Days | 33 | 4 |
Volatility (ann.) | 3.09% | 1.12% |
R^2 | 0.14 | 0.14 |
Information Ratio | 0.0 | 0.0 |
Calmar | 3.66 | 1061.62 |
Skew | 0.13 | 17.65 |
Kurtosis | 142.45 | 385.54 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.81% | 0.81% |
Expected Yearly | 6.49% | 6.48% |
Kelly Criterion | 80.21% | 99.19% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.28% | -0.08% |
Expected Shortfall (cVaR) | -0.28% | -0.08% |
Max Consecutive Wins | 101 | 100 |
Max Consecutive Losses | 3 | 1 |
Gain/Pain Ratio | 3.36 | 683.56 |
Gain/Pain (1M) | - | - |
Payoff Ratio | 1.72 | 4.74 |
Profit Factor | 4.36 | 684.56 |
Common Sense Ratio | 15.91 | 8881.03 |
CPC Index | 6.56 | 3223.21 |
Tail Ratio | 3.65 | 12.97 |
Outlier Win Ratio | 3.82 | 5.61 |
Outlier Loss Ratio | 0.67 | 7.41 |
MTD | 1.03% | 1.12% |
3M | 3.85% | 3.88% |
6M | 7.64% | 7.68% |
YTD | 4.82% | 5.01% |
1Y | 12.33% | 12.38% |
3Y (ann.) | 10.45% | 10.44% |
5Y (ann.) | 10.45% | 10.44% |
10Y (ann.) | 10.45% | 10.44% |
All-time (ann.) | 10.45% | 10.44% |
Best Day | 2.57% | 1.59% |
Worst Day | -2.86% | -0.01% |
Best Month | 2.16% | 1.69% |
Worst Month | 0.16% | 0.24% |
Best Year | 10.56% | 10.41% |
Worst Year | 1.48% | 1.46% |
Avg. Drawdown | -0.12% | -0.01% |
Avg. Drawdown Days | 3 | 2 |
Recovery Factor | 10.01 | 2902.77 |
Ulcer Index | 0.0 | 0.0 |
Serenity Index | -2785.22 | -40506426.96 |
Avg. Up Month | 0.82% | 0.81% |
Avg. Down Month | - | - |
Win Days | 87.48% | 99.33% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 1.03 | - |
Alpha | -0.0 | - |
Correlation | 37.22% | - |
Treynor Ratio | -650.81% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.46 | 1.48 | 1.01 | + |
2022 | 10.41 | 10.56 | 1.01 | + |
2023 | 9.28 | 9.34 | 1.01 | + |
2024 | 5.01 | 4.82 | 0.96 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-24 | 2022-03-29 | -2.86 | 33 |
2022-04-25 | 2022-05-19 | -0.96 | 24 |
2021-12-27 | 2022-01-28 | -0.68 | 32 |
2022-03-31 | 2022-04-04 | -0.16 | 4 |
2022-06-20 | 2022-06-22 | -0.14 | 2 |
2022-07-27 | 2022-07-28 | -0.14 | 1 |
2022-06-02 | 2022-06-03 | -0.13 | 1 |
2022-08-16 | 2022-08-18 | -0.11 | 2 |
2022-06-27 | 2022-07-01 | -0.09 | 4 |
2022-08-09 | 2022-08-12 | -0.09 | 3 |