Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 88.85% | 102.89% |
CAGR﹪ | 12.09% | 13.54% |
Sharpe | -8.87 | -7.14 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.66 | -6.97 |
Sortino | -8.26 | -7.15 |
Smart Sortino | -8.06 | -6.98 |
Sortino/√2 | -5.84 | -5.05 |
Smart Sortino/√2 | -5.7 | -4.93 |
Omega | 0.17 | 0.17 |
Max Drawdown | -54.18% | -53.53% |
Longest DD Days | 918 | 918 |
Volatility (ann.) | 21.96% | 26.91% |
R^2 | 0.67 | 0.67 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.22 | 0.25 |
Skew | -1.96 | -4.83 |
Kurtosis | 18.5 | 124.5 |
Expected Daily | 0.05% | 0.05% |
Expected Monthly | 0.95% | 1.06% |
Expected Yearly | 9.51% | 10.64% |
Kelly Criterion | 5.7% | 4.7% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.22% | -2.72% |
Expected Shortfall (cVaR) | -2.22% | -2.72% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 8 | 6 |
Gain/Pain Ratio | 0.13 | 0.16 |
Gain/Pain (1M) | 0.67 | 0.82 |
Payoff Ratio | 0.86 | 0.84 |
Profit Factor | 1.13 | 1.16 |
Common Sense Ratio | 1.17 | 1.16 |
CPC Index | 0.55 | 0.55 |
Tail Ratio | 1.03 | 1.0 |
Outlier Win Ratio | 3.91 | 3.68 |
Outlier Loss Ratio | 4.66 | 4.57 |
MTD | 3.63% | 3.22% |
3M | 8.86% | 9.1% |
6M | 7.65% | 7.81% |
YTD | 11.87% | 11.85% |
1Y | 39.19% | 40.55% |
3Y (ann.) | 3.41% | 5.08% |
5Y (ann.) | 12.02% | 13.65% |
10Y (ann.) | 12.09% | 13.54% |
All-time (ann.) | 12.09% | 13.54% |
Best Day | 7.45% | 20.04% |
Worst Day | -14.14% | -33.28% |
Best Month | 15.26% | 15.56% |
Worst Month | -26.92% | -30.02% |
Best Year | 52.03% | 53.84% |
Worst Year | -38.96% | -37.26% |
Avg. Drawdown | -2.96% | -2.98% |
Avg. Drawdown Days | 32 | 32 |
Recovery Factor | 1.64 | 1.92 |
Ulcer Index | 0.23 | 0.22 |
Serenity Index | -0.87 | -1.13 |
Avg. Up Month | 4.22% | 4.52% |
Avg. Down Month | -6.07% | -6.3% |
Win Days | 56.39% | 56.48% |
Win Month | 70.15% | 70.15% |
Win Quarter | 73.91% | 73.91% |
Win Year | 71.43% | 71.43% |
Beta | 0.67 | - |
Alpha | 0.03 | - |
Correlation | 82.04% | - |
Treynor Ratio | -912.7% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2018 | -2.93 | -2.60 | 0.89 | + |
2019 | 38.45 | 37.44 | 0.97 | - |
2020 | 14.82 | 13.38 | 0.90 | - |
2021 | 21.79 | 19.85 | 0.91 | - |
2022 | -37.26 | -38.96 | 1.05 | - |
2023 | 53.84 | 52.03 | 0.97 | - |
2024 | 11.85 | 11.87 | 1.00 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-04-26 | -54.18 | 918 |
2020-01-21 | 2020-11-18 | -34.16 | 302 |
2018-10-04 | 2019-01-21 | -7.56 | 109 |
2021-01-15 | 2021-03-11 | -6.27 | 55 |
2019-07-05 | 2019-09-03 | -5.61 | 60 |
2019-11-08 | 2019-12-18 | -4.72 | 40 |
2019-09-17 | 2019-10-23 | -4.54 | 36 |
2021-07-08 | 2021-08-10 | -4.16 | 33 |
2019-02-06 | 2019-04-09 | -4.00 | 62 |
2021-03-16 | 2021-04-16 | -3.86 | 31 |