Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 91.57% | 41.53% |
CAGR﹪ | 12.36% | 6.43% |
Sharpe | 0.65 | 0.45 |
Prob. Sharpe Ratio | 92.79% | 85.58% |
Smart Sharpe | 0.64 | 0.44 |
Sortino | 0.84 | 0.69 |
Smart Sortino | 0.83 | 0.67 |
Sortino/√2 | 0.6 | 0.49 |
Smart Sortino/√2 | 0.59 | 0.48 |
Omega | 1.14 | 1.14 |
Max Drawdown | -54.18% | -39.65% |
Longest DD Days | 915 | 707 |
Volatility (ann.) | 22.04% | 17.66% |
R^2 | 0.04 | 0.04 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.23 | 0.16 |
Skew | -1.95 | 1.27 |
Kurtosis | 18.35 | 17.68 |
Expected Daily | 0.05% | 0.03% |
Expected Monthly | 0.96% | 0.51% |
Expected Yearly | 9.73% | 5.09% |
Kelly Criterion | 12.96% | -5.89% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.23% | -1.8% |
Expected Shortfall (cVaR) | -2.23% | -1.8% |
Max Consecutive Wins | 11 | 9 |
Max Consecutive Losses | 8 | 9 |
Gain/Pain Ratio | 0.14 | 0.09 |
Gain/Pain (1M) | 0.68 | 0.41 |
Payoff Ratio | 1.0 | 0.88 |
Profit Factor | 1.14 | 1.09 |
Common Sense Ratio | 1.17 | 1.14 |
CPC Index | 0.64 | 0.49 |
Tail Ratio | 1.03 | 1.04 |
Outlier Win Ratio | 3.71 | 4.3 |
Outlier Loss Ratio | 3.9 | 5.56 |
MTD | 3.59% | 0.7% |
3M | 8.44% | 6.07% |
6M | 7.69% | -2.3% |
YTD | 11.83% | 3.06% |
1Y | 38.02% | 13.99% |
3Y (ann.) | 3.62% | 8.4% |
5Y (ann.) | 11.85% | 7.78% |
10Y (ann.) | 12.36% | 6.43% |
All-time (ann.) | 12.36% | 6.43% |
Best Day | 7.45% | 10.7% |
Worst Day | -14.14% | -6.67% |
Best Month | 15.26% | 19.77% |
Worst Month | -26.92% | -16.34% |
Best Year | 52.03% | 29.27% |
Worst Year | -38.96% | -11.22% |
Avg. Drawdown | -2.96% | -6.36% |
Avg. Drawdown Days | 32 | 124 |
Recovery Factor | 1.69 | 1.05 |
Ulcer Index | 0.23 | 0.13 |
Serenity Index | 0.13 | 0.16 |
Avg. Up Month | 3.98% | 3.77% |
Avg. Down Month | -7.45% | -10.31% |
Win Days | 56.39% | 50.44% |
Win Month | 70.59% | 57.35% |
Win Quarter | 75.0% | 58.33% |
Win Year | 71.43% | 71.43% |
Beta | -0.24 | - |
Alpha | 0.16 | - |
Correlation | -19.43% | - |
Treynor Ratio | -377.8% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2018 | 6.11 | -1.17 | -0.19 | - |
2019 | -11.22 | 37.44 | -3.34 | + |
2020 | 20.05 | 13.38 | 0.67 | - |
2021 | 0.36 | 19.85 | 55.74 | + |
2022 | -6.40 | -38.96 | 6.09 | - |
2023 | 29.27 | 52.03 | 1.78 | + |
2024 | 3.06 | 11.83 | 3.86 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-04-23 | -54.18 | 915 |
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 |