Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 20.66% | 34.66% |
CAGR﹪ | 4.38% | 7.03% |
Sharpe | 0.31 | 1.9 |
Prob. Sharpe Ratio | 73.22% | 100.0% |
Smart Sharpe | 0.3 | 1.9 |
Sortino | 0.39 | 85.09 |
Smart Sortino | 0.39 | 84.8 |
Sortino/√2 | 0.28 | 60.17 |
Smart Sortino/√2 | 0.28 | 59.96 |
Omega | 1.06 | 1.06 |
Max Drawdown | -54.18% | -1.25% |
Longest DD Days | 469 | 209 |
Volatility (ann.) | 23.98% | 3.68% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.08 | 5.6 |
Skew | -1.89 | 32.49 |
Kurtosis | 16.24 | 1063.74 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.35% | 0.55% |
Expected Yearly | 3.18% | 5.09% |
Kelly Criterion | 9.26% | 82.2% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.46% | -0.35% |
Expected Shortfall (cVaR) | -2.46% | -0.35% |
Max Consecutive Wins | 9 | 393 |
Max Consecutive Losses | 7 | 65 |
Gain/Pain Ratio | 0.06 | 16.94 |
Gain/Pain (1M) | 0.28 | 16.94 |
Payoff Ratio | 1.01 | 3.68 |
Profit Factor | 1.06 | 17.94 |
Common Sense Ratio | 1.05 | 56.51 |
CPC Index | 0.58 | 56.73 |
Tail Ratio | 0.99 | 3.15 |
Outlier Win Ratio | 1.84 | 48.56 |
Outlier Loss Ratio | 2.38 | 210.04 |
MTD | 0.86% | 0.07% |
3M | 6.17% | 1.96% |
6M | 9.42% | 1.7% |
YTD | 4.52% | 0.82% |
1Y | -32.51% | 11.66% |
3Y (ann.) | -1.47% | 8.63% |
5Y (ann.) | 4.38% | 7.03% |
10Y (ann.) | 4.38% | 7.03% |
All-time (ann.) | 4.38% | 7.03% |
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 | 37.44% | 11.92% |
Worst Year | -38.96% | 0.82% |
Avg. Drawdown | -2.9% | -0.59% |
Avg. Drawdown Days | 24 | 132 |
Recovery Factor | 0.38 | 27.62 |
Ulcer Index | 0.22 | 0.0 |
Serenity Index | 0.03 | 39.95 |
Avg. Up Month | 3.99% | 0.69% |
Avg. Down Month | -2.44% | -0.22% |
Win Days | 54.36% | 86.01% |
Win Month | 68.52% | 87.04% |
Win Quarter | 68.42% | 89.47% |
Win Year | 83.33% | 100.0% |
Beta | 0.29 | - |
Alpha | 0.05 | - |
Correlation | 4.41% | - |
Treynor Ratio | 71.94% | - |
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 | 0.82 | 4.52 | 5.54 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2023-02-02 | -54.18 | 469 |
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 |