Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 31.34% | 54.13% |
CAGR﹪ | 5.42% | 8.74% |
Sharpe | 0.7 | 32.97 |
Prob. Sharpe Ratio | 91.56% | - |
Smart Sharpe | 0.45 | 21.31 |
Sortino | 0.93 | - |
Smart Sortino | 0.6 | - |
Sortino/√2 | 0.66 | - |
Smart Sortino/√2 | 0.43 | - |
Omega | 1.23 | 1.23 |
Max Drawdown | -14.75% | - |
Longest DD Days | - | - |
Volatility (ann.) | 8.11% | 0.26% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.37 | - |
Skew | -4.55 | 1.04 |
Kurtosis | 251.78 | -0.15 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.44% | 0.7% |
Expected Yearly | 4.65% | 7.48% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.82% | -0.01% |
Expected Shortfall (cVaR) | -0.82% | -0.01% |
Max Consecutive Wins | 8 | 1278 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.23 | - |
Gain/Pain (1M) | 1.53 | - |
Payoff Ratio | - | - |
Profit Factor | 1.23 | - |
Common Sense Ratio | 1.39 | - |
CPC Index | - | - |
Tail Ratio | 1.13 | 4.13 |
Outlier Win Ratio | 2.16 | 13.82 |
Outlier Loss Ratio | 1.91 | - |
MTD | -0.39% | 0.15% |
3M | -2.03% | 4.85% |
6M | -1.67% | 9.2% |
YTD | 2.06% | 14.7% |
1Y | 2.68% | 17.37% |
3Y (ann.) | 5.74% | 11.32% |
5Y (ann.) | 5.1% | 8.84% |
10Y (ann.) | 5.42% | 8.74% |
All-time (ann.) | 5.42% | 8.74% |
Best Day | 8.83% | 0.07% |
Worst Day | -11.2% | 0.0% |
Best Month | 4.76% | 1.68% |
Worst Month | -6.05% | 0.15% |
Best Year | 10.37% | 14.7% |
Worst Year | 1.48% | 2.08% |
Avg. Drawdown | -0.5% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 2.12 | - |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | 4.26 | - |
Avg. Up Month | 1.12% | 0.69% |
Avg. Down Month | - | - |
Win Days | 55.36% | 100.0% |
Win Month | 69.35% | 100.0% |
Win Quarter | 77.27% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -0.38 | - |
Alpha | 0.09 | - |
Correlation | -1.21% | - |
Treynor Ratio | -82.26% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 2.08 | 6.08 | 2.92 | + |
2020 | 4.97 | 5.22 | 1.05 | + |
2021 | 5.82 | 1.48 | 0.26 | - |
2022 | 7.74 | 10.37 | 1.34 | + |
2023 | 10.00 | 2.93 | 0.29 | - |
2024 | 14.70 | 2.06 | 0.14 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-06-03 | -14.75 | 148 |
2020-02-21 | 2020-04-30 | -5.36 | 69 |
2022-09-20 | 2022-10-21 | -4.78 | 31 |
2023-08-04 | 2024-02-13 | -3.74 | 193 |
2024-08-13 | 2024-11-02 | -3.08 | 81 |
2024-05-10 | 2024-08-07 | -2.41 | 89 |
2021-08-31 | 2021-12-29 | -1.78 | 120 |
2020-01-03 | 2020-02-17 | -1.21 | 45 |
2021-05-26 | 2021-08-04 | -1.05 | 70 |
2021-01-26 | 2021-05-05 | -0.99 | 99 |