Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 88.74% | 46.64% |
CAGR﹪ | 12.17% | 7.17% |
Sharpe | 0.64 | 2.17 |
Prob. Sharpe Ratio | 92.4% | 99.96% |
Smart Sharpe | 0.63 | 2.13 |
Sortino | 0.83 | 96.95 |
Smart Sortino | 0.82 | 95.38 |
Sortino/√2 | 0.59 | 68.55 |
Smart Sortino/√2 | 0.58 | 67.45 |
Omega | 1.13 | 1.13 |
Max Drawdown | -54.18% | -1.25% |
Longest DD Days | 889 | 209 |
Volatility (ann.) | 22.15% | 3.27% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.22 | 5.71 |
Skew | -1.93 | 36.55 |
Kurtosis | 18.07 | 1347.73 |
Expected Daily | 0.05% | 0.03% |
Expected Monthly | 0.95% | 0.57% |
Expected Yearly | 9.5% | 5.62% |
Kelly Criterion | 8.73% | 85.73% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.24% | -0.31% |
Expected Shortfall (cVaR) | -2.24% | -0.31% |
Max Consecutive Wins | 11 | 400 |
Max Consecutive Losses | 8 | 65 |
Gain/Pain Ratio | 0.13 | 21.75 |
Gain/Pain (1M) | 0.67 | 21.75 |
Payoff Ratio | 0.92 | 3.39 |
Profit Factor | 1.13 | 22.75 |
Common Sense Ratio | 1.18 | 104.69 |
CPC Index | 0.59 | 68.61 |
Tail Ratio | 1.04 | 4.6 |
Outlier Win Ratio | 1.95 | 49.22 |
Outlier Loss Ratio | 2.32 | 190.83 |
MTD | 1.68% | 0.65% |
3M | 7.31% | 2.27% |
6M | 10.44% | 5.04% |
YTD | 7.54% | 2.2% |
1Y | 44.61% | 8.04% |
3Y (ann.) | 3.29% | 9.34% |
5Y (ann.) | 11.8% | 7.25% |
10Y (ann.) | 12.17% | 7.17% |
All-time (ann.) | 12.17% | 7.17% |
Best Day | 7.45% | 7.61% |
Worst Day | -14.14% | -0.02% |
Best Month | 15.26% | 7.61% |
Worst Month | -26.92% | -0.52% |
Best Year | 52.03% | 11.92% |
Worst Year | -38.96% | 1.85% |
Avg. Drawdown | -2.9% | -0.59% |
Avg. Drawdown Days | 31 | 132 |
Recovery Factor | 1.64 | 37.17 |
Ulcer Index | 0.23 | 0.0 |
Serenity Index | 0.13 | 61.09 |
Avg. Up Month | 4.25% | 0.66% |
Avg. Down Month | -2.44% | -0.22% |
Win Days | 56.26% | 88.98% |
Win Month | 70.15% | 89.55% |
Win Quarter | 73.91% | 91.3% |
Win Year | 85.71% | 100.0% |
Beta | 0.28 | - |
Alpha | 0.12 | - |
Correlation | 4.15% | - |
Treynor Ratio | 315.09% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2018 | 1.85 | 1.25 | 0.68 | - |
2019 | 3.05 | 37.44 | 12.29 | + |
2020 | 4.91 | 13.38 | 2.72 | + |
2021 | 8.39 | 19.85 | 2.37 | + |
2022 | 11.92 | -38.96 | -3.27 | - |
2023 | 7.42 | 52.03 | 7.01 | + |
2024 | 2.20 | 7.54 | 3.43 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-03-28 | -54.18 | 889 |
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 |