Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 28.0% | 28.47% |
CAGR﹪ | 8.59% | 8.73% |
Sharpe | 0.47 | 3.43 |
Prob. Sharpe Ratio | 78.07% | 100.0% |
Smart Sharpe | 0.41 | 3.0 |
Sortino | 0.59 | 91.57 |
Smart Sortino | 0.52 | 80.13 |
Sortino/√2 | 0.42 | 64.75 |
Smart Sortino/√2 | 0.37 | 56.66 |
Omega | 1.1 | 1.1 |
Max Drawdown | -46.65% | -1.25% |
Longest DD Days | 702 | 209 |
Volatility (ann.) | 24.07% | 2.5% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.18 | 6.96 |
Skew | -3.02 | 15.22 |
Kurtosis | 32.42 | 234.39 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.67% | 0.68% |
Expected Yearly | 6.37% | 6.46% |
Kelly Criterion | 8.07% | 86.39% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.45% | -0.22% |
Expected Shortfall (cVaR) | -2.45% | -0.22% |
Max Consecutive Wins | 10 | 399 |
Max Consecutive Losses | 5 | 65 |
Gain/Pain Ratio | 0.1 | 19.07 |
Gain/Pain (1M) | 0.49 | 19.07 |
Payoff Ratio | 0.94 | 2.19 |
Profit Factor | 1.1 | 20.07 |
Common Sense Ratio | 1.12 | 69.74 |
CPC Index | 0.57 | 39.94 |
Tail Ratio | 1.02 | 3.47 |
Outlier Win Ratio | 1.75 | 37.73 |
Outlier Loss Ratio | 2.39 | 124.29 |
MTD | -5.49% | 0.19% |
3M | 7.11% | 1.23% |
6M | 26.56% | 2.32% |
YTD | 35.54% | 3.9% |
1Y | 44.89% | 5.3% |
3Y (ann.) | 9.02% | 8.88% |
5Y (ann.) | 8.59% | 8.73% |
10Y (ann.) | 8.59% | 8.73% |
All-time (ann.) | 8.59% | 8.73% |
Best Day | 8.06% | 2.47% |
Worst Day | -17.25% | -0.02% |
Best Month | 17.87% | 7.61% |
Worst Month | -20.75% | -0.52% |
Best Year | 35.54% | 11.92% |
Worst Year | -28.61% | 1.93% |
Avg. Drawdown | -2.95% | -0.66% |
Avg. Drawdown Days | 36 | 110 |
Recovery Factor | 0.6 | 22.69 |
Ulcer Index | 0.23 | 0.0 |
Serenity Index | 0.04 | 16.02 |
Avg. Up Month | 4.04% | 0.57% |
Avg. Down Month | -1.4% | -0.37% |
Win Days | 55.57% | 90.65% |
Win Month | 70.27% | 89.19% |
Win Quarter | 69.23% | 84.62% |
Win Year | 75.0% | 100.0% |
Beta | -0.85 | - |
Alpha | 0.19 | - |
Correlation | -8.85% | - |
Treynor Ratio | -32.83% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.93 | 18.25 | 9.48 | + |
2021 | 8.39 | 11.86 | 1.41 | + |
2022 | 11.92 | -28.61 | -2.40 | - |
2023 | 3.90 | 35.54 | 9.11 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-20 | 2023-09-22 | -46.65 | 702 |
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 |
2021-04-19 | 2021-04-22 | -1.46 | 3 |