Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 80.88% | 62.79% |
CAGR﹪ | 9.31% | 7.6% |
Sharpe | 0.51 | 2.51 |
Prob. Sharpe Ratio | 90.12% | 99.84% |
Smart Sharpe | 0.5 | 2.42 |
Sortino | 0.69 | 112.12 |
Smart Sortino | 0.66 | 108.28 |
Sortino/√2 | 0.49 | 79.28 |
Smart Sortino/√2 | 0.47 | 76.57 |
Omega | 1.1 | 1.1 |
Max Drawdown | -54.18% | -1.25% |
Longest DD Days | 1299 | 209 |
Volatility (ann.) | 22.54% | 2.97% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.17 | 6.05 |
Skew | -1.33 | 40.04 |
Kurtosis | 14.88 | 1620.68 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.73% | 0.6% |
Expected Yearly | 7.69% | 6.28% |
Kelly Criterion | 9.03% | 88.19% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.29% | -0.28% |
Expected Shortfall (cVaR) | -2.29% | -0.28% |
Max Consecutive Wins | 11 | 685 |
Max Consecutive Losses | 16 | 65 |
Gain/Pain Ratio | 0.1 | 27.64 |
Gain/Pain (1M) | 0.49 | 27.64 |
Payoff Ratio | 0.97 | 3.4 |
Profit Factor | 1.1 | 28.64 |
Common Sense Ratio | 1.07 | 156.38 |
CPC Index | 0.59 | 88.52 |
Tail Ratio | 0.97 | 5.46 |
Outlier Win Ratio | 1.89 | 49.34 |
Outlier Loss Ratio | 1.92 | 162.71 |
MTD | 0.22% | 0.19% |
3M | -2.71% | 2.06% |
6M | 7.3% | 5.97% |
YTD | 1.99% | 3.6% |
1Y | -8.92% | 10.51% |
3Y (ann.) | 17.28% | 7.12% |
5Y (ann.) | 7.82% | 8.8% |
10Y (ann.) | 9.31% | 7.6% |
All-time (ann.) | 9.31% | 7.6% |
Best Day | 8.98% | 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 | 38 | 132 |
Recovery Factor | 1.49 | 50.04 |
Ulcer Index | 0.22 | 0.0 |
Serenity Index | 0.13 | 91.12 |
Avg. Up Month | 4.43% | 0.68% |
Avg. Down Month | -2.44% | -0.22% |
Win Days | 55.18% | 90.88% |
Win Month | 66.67% | 91.36% |
Win Quarter | 67.86% | 92.86% |
Win Year | 87.5% | 100.0% |
Beta | 0.29 | - |
Alpha | 0.09 | - |
Correlation | 3.82% | - |
Treynor Ratio | 279.76% | - |
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 | 9.51 | 1.06 | 0.11 | - |
2025 | 3.60 | 1.99 | 0.55 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2025-05-12 | -54.18 | 1299 |
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 |