Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 60.29% | 45.93% |
CAGR﹪ | 8.39% | 6.66% |
Sharpe | 1.06 | 21.29 |
Prob. Sharpe Ratio | 98.05% | 100.0% |
Smart Sharpe | 0.72 | 14.57 |
Sortino | 1.45 | 96.42 |
Smart Sortino | 0.99 | 66.0 |
Sortino/√2 | 1.02 | 68.18 |
Smart Sortino/√2 | 0.7 | 46.67 |
Omega | 1.33 | 1.33 |
Max Drawdown | -14.75% | -1.25% |
Longest DD Days | 193 | 209 |
Volatility (ann.) | 8.05% | 0.31% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.57 | 5.31 |
Skew | -3.9 | -0.07 |
Kurtosis | 230.98 | 0.28 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.68% | 0.54% |
Expected Yearly | 6.97% | 5.55% |
Kelly Criterion | 22.45% | 88.1% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.8% | -0.01% |
Expected Shortfall (cVaR) | -0.8% | -0.01% |
Max Consecutive Wins | 9 | 729 |
Max Consecutive Losses | 8 | 65 |
Gain/Pain Ratio | 0.33 | 24.82 |
Gain/Pain (1M) | 2.64 | 24.82 |
Payoff Ratio | 1.3 | 2.54 |
Profit Factor | 1.33 | 25.82 |
Common Sense Ratio | 1.62 | 167.58 |
CPC Index | 0.97 | 59.97 |
Tail Ratio | 1.22 | 6.49 |
Outlier Win Ratio | 2.22 | 17.61 |
Outlier Loss Ratio | 1.93 | 37.38 |
MTD | 0.75% | 0.21% |
3M | 7.97% | 1.32% |
6M | 14.39% | 3.85% |
YTD | 16.02% | 4.24% |
1Y | 21.18% | 9.36% |
3Y (ann.) | 10.09% | 7.64% |
5Y (ann.) | 8.07% | 7.21% |
10Y (ann.) | 8.39% | 6.66% |
All-time (ann.) | 8.39% | 6.66% |
Best Day | 8.83% | 0.07% |
Worst Day | -11.2% | -0.02% |
Best Month | 4.85% | 1.56% |
Worst Month | -6.05% | -0.52% |
Best Year | 16.02% | 9.51% |
Worst Year | 1.48% | 0.62% |
Avg. Drawdown | -0.49% | -0.51% |
Avg. Drawdown Days | 10 | 111 |
Recovery Factor | 4.09 | 36.6 |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | 8.05 | 6.37 |
Avg. Up Month | 1.33% | 0.58% |
Avg. Down Month | - | - |
Win Days | 56.23% | 91.46% |
Win Month | 72.86% | 91.43% |
Win Quarter | 84.0% | 92.0% |
Win Year | 100.0% | 100.0% |
Beta | -0.3 | - |
Alpha | 0.1 | - |
Correlation | -1.15% | - |
Treynor Ratio | -201.53% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 0.62 | 6.08 | 9.80 | + |
2020 | 4.91 | 5.22 | 1.06 | + |
2021 | 8.39 | 1.48 | 0.18 | - |
2022 | 4.01 | 10.37 | 2.59 | + |
2023 | 7.42 | 2.93 | 0.40 | - |
2024 | 9.51 | 7.36 | 0.77 | - |
2025 | 4.24 | 16.02 | 3.78 | + |
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 |