Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 66.67% | 81.0% |
CAGR﹪ | 8.91% | 10.42% |
Sharpe | 1.13 | 29.29 |
Prob. Sharpe Ratio | 98.54% | - |
Smart Sharpe | 0.77 | 20.09 |
Sortino | 1.54 | - |
Smart Sortino | 1.06 | - |
Sortino/√2 | 1.09 | - |
Smart Sortino/√2 | 0.75 | - |
Omega | 1.36 | 1.36 |
Max Drawdown | -14.75% | - |
Longest DD Days | - | - |
Volatility (ann.) | 7.97% | 0.34% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.6 | - |
Skew | -3.93 | 0.8 |
Kurtosis | 234.58 | -0.73 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.72% | 0.84% |
Expected Yearly | 7.57% | 8.85% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.79% | -0.0% |
Expected Shortfall (cVaR) | -0.79% | -0.0% |
Max Consecutive Wins | 11 | 1486 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | 0.36 | - |
Gain/Pain (1M) | 2.86 | - |
Payoff Ratio | - | - |
Profit Factor | 1.36 | - |
Common Sense Ratio | 1.66 | - |
CPC Index | - | - |
Tail Ratio | 1.22 | 4.72 |
Outlier Win Ratio | 2.21 | 12.94 |
Outlier Loss Ratio | 1.86 | - |
MTD | 1.5% | 1.32% |
3M | 8.67% | 4.45% |
6M | 15.45% | 9.64% |
YTD | 20.64% | 13.44% |
1Y | 23.56% | 21.59% |
3Y (ann.) | 12.15% | 15.17% |
5Y (ann.) | 8.8% | 11.51% |
10Y (ann.) | 8.91% | 10.42% |
All-time (ann.) | 8.91% | 10.42% |
Best Day | 8.83% | 0.09% |
Worst Day | -11.2% | 0.0% |
Best Month | 4.85% | 1.83% |
Worst Month | -6.05% | 0.37% |
Best Year | 20.64% | 18.74% |
Worst Year | 1.48% | 2.08% |
Avg. Drawdown | -0.48% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 4.52 | - |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | 9.02 | - |
Avg. Up Month | 1.38% | 0.85% |
Avg. Down Month | - | - |
Win Days | 56.61% | 100.0% |
Win Month | 73.24% | 100.0% |
Win Quarter | 84.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.85 | - |
Alpha | 0.0 | - |
Correlation | 3.64% | - |
Treynor Ratio | 78.88% | - |
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 | 18.74 | 7.36 | 0.39 | - |
2025 | 13.44 | 20.64 | 1.54 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-06-03 | -14.75 | 148 |
2020-02-21 | 2020-04-30 | -5.36 | 69 |
2024-08-13 | 2024-12-24 | -5.19 | 133 |
2022-09-20 | 2022-10-21 | -4.78 | 31 |
2023-08-04 | 2024-02-13 | -3.74 | 193 |
2024-05-10 | 2024-08-07 | -2.41 | 89 |
2021-08-31 | 2021-12-29 | -1.78 | 120 |
2025-01-15 | 2025-01-21 | -1.37 | 6 |
2025-03-25 | 2025-04-17 | -1.30 | 23 |
2020-01-03 | 2020-02-17 | -1.21 | 45 |