Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 30.94% | 58.88% |
CAGR﹪ | 6.33% | 11.11% |
Sharpe | 0.39 | 19.57 |
Prob. Sharpe Ratio | 78.3% | 100.0% |
Smart Sharpe | 0.36 | 18.23 |
Sortino | 0.5 | - |
Smart Sortino | 0.47 | - |
Sortino/√2 | 0.36 | - |
Smart Sortino/√2 | 0.33 | - |
Omega | 1.08 | 1.08 |
Max Drawdown | -46.65% | - |
Longest DD Days | - | - |
Volatility (ann.) | 23.32% | 0.54% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.14 | - |
Skew | -2.01 | 7.76 |
Kurtosis | 26.48 | 97.48 |
Expected Daily | 0.02% | 0.04% |
Expected Monthly | 0.5% | 0.86% |
Expected Yearly | 4.6% | 8.02% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.38% | -0.01% |
Expected Shortfall (cVaR) | -2.38% | -0.01% |
Max Consecutive Wins | 11 | 1094 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.08 | - |
Gain/Pain (1M) | 0.36 | - |
Payoff Ratio | - | - |
Profit Factor | 1.08 | - |
Common Sense Ratio | 0.96 | - |
CPC Index | - | - |
Tail Ratio | 0.89 | 4.73 |
Outlier Win Ratio | 1.96 | 40.7 |
Outlier Loss Ratio | 2.07 | - |
MTD | 6.8% | 1.79% |
3M | 14.8% | 6.58% |
6M | 5.53% | 11.86% |
YTD | 9.21% | 3.61% |
1Y | -2.46% | 20.85% |
3Y (ann.) | 5.44% | 14.03% |
5Y (ann.) | 6.33% | 11.11% |
10Y (ann.) | 6.33% | 11.11% |
All-time (ann.) | 6.33% | 11.11% |
Best Day | 9.46% | 0.51% |
Worst Day | -17.25% | 0.0% |
Best Month | 17.87% | 1.83% |
Worst Month | -20.75% | 0.29% |
Best Year | 34.84% | 18.74% |
Worst Year | -28.61% | 1.41% |
Avg. Drawdown | -3.97% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.66 | - |
Ulcer Index | 0.21 | 0.0 |
Serenity Index | 0.06 | - |
Avg. Up Month | 4.28% | 0.78% |
Avg. Down Month | - | - |
Win Days | 54.29% | 100.0% |
Win Month | 64.81% | 100.0% |
Win Quarter | 63.16% | 100.0% |
Win Year | 66.67% | 100.0% |
Beta | -2.15 | - |
Alpha | 0.32 | - |
Correlation | -5.02% | - |
Treynor Ratio | -14.38% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.41 | 18.25 | 12.92 | + |
2021 | 5.82 | 11.86 | 2.04 | + |
2022 | 9.41 | -28.61 | -3.04 | - |
2023 | 10.00 | 34.84 | 3.48 | + |
2024 | 18.74 | -5.84 | -0.31 | - |
2025 | 3.61 | 9.21 | 2.55 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-20 | 2024-04-15 | -46.65 | 908 |
2024-05-20 | 2025-02-14 | -34.56 | 270 |
2021-06-15 | 2021-08-30 | -5.07 | 76 |
2021-01-15 | 2021-03-11 | -4.68 | 55 |
2020-09-29 | 2020-11-05 | -4.41 | 37 |
2021-09-09 | 2021-10-05 | -3.44 | 26 |
2021-04-27 | 2021-06-01 | -2.94 | 35 |
2021-03-16 | 2021-03-31 | -2.58 | 15 |
2020-12-21 | 2020-12-22 | -1.84 | 1 |
2020-11-30 | 2020-12-02 | -1.77 | 2 |