Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 17.41% | 31.0% |
CAGR﹪ | 4.45% | 7.6% |
Sharpe | 0.62 | 19.74 |
Prob. Sharpe Ratio | 80.18% | 100.0% |
Smart Sharpe | 0.49 | 15.68 |
Sortino | 0.98 | - |
Smart Sortino | 0.78 | - |
Sortino/√2 | 0.69 | - |
Smart Sortino/√2 | 0.55 | - |
Omega | 1.23 | 1.23 |
Max Drawdown | -13.87% | - |
Longest DD Days | - | - |
Volatility (ann.) | 15.88% | 0.73% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.32 | - |
Skew | 1.12 | 7.8 |
Kurtosis | 101.79 | 89.47 |
Expected Daily | 0.03% | 0.06% |
Expected Monthly | 0.67% | 1.13% |
Expected Yearly | 3.26% | 5.55% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.61% | -0.02% |
Expected Shortfall (cVaR) | -1.61% | -0.02% |
Max Consecutive Wins | 6 | 471 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | 0.23 | - |
Gain/Pain (1M) | 1.23 | - |
Payoff Ratio | - | - |
Profit Factor | 1.23 | - |
Common Sense Ratio | 1.47 | - |
CPC Index | - | - |
Tail Ratio | 1.19 | 3.83 |
Outlier Win Ratio | 3.44 | 23.99 |
Outlier Loss Ratio | 1.33 | - |
MTD | 3.78% | 1.79% |
3M | 9.21% | 6.58% |
6M | 6.12% | 11.86% |
YTD | 2.48% | 3.61% |
1Y | 5.55% | 20.85% |
3Y (ann.) | 15.68% | 21.34% |
5Y (ann.) | 4.45% | 7.6% |
10Y (ann.) | 4.45% | 7.6% |
All-time (ann.) | 4.45% | 7.6% |
Best Day | 12.35% | 0.61% |
Worst Day | -12.19% | 0.0% |
Best Month | 7.85% | 1.83% |
Worst Month | -4.32% | 0.41% |
Best Year | 11.59% | 18.74% |
Worst Year | -2.54% | 1.23% |
Avg. Drawdown | -1.05% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.26 | - |
Ulcer Index | 0.04 | 0.0 |
Serenity Index | 0.72 | - |
Avg. Up Month | 2.23% | 1.14% |
Avg. Down Month | - | - |
Win Days | 50.44% | 100.0% |
Win Month | 62.5% | 100.0% |
Win Quarter | 70.0% | 100.0% |
Win Year | 80.0% | 100.0% |
Beta | 2.34 | - |
Alpha | -0.24 | - |
Correlation | 10.77% | - |
Treynor Ratio | 7.44% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.77 | 2.13 | 0.56 | - |
2022 | 1.36 | -2.54 | -1.86 | - |
2023 | 1.23 | 3.16 | 2.57 | + |
2024 | 18.74 | 11.59 | 0.62 | - |
2025 | 3.61 | 2.48 | 0.69 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2024-01-11 | -13.87 | 735 |
2024-04-23 | 2025-02-13 | -9.80 | 296 |
2021-10-21 | 2022-01-03 | -1.54 | 74 |
2024-01-15 | 2024-01-17 | -0.95 | 2 |
2024-01-18 | 2024-01-24 | -0.86 | 6 |
2024-02-05 | 2024-02-07 | -0.76 | 2 |
2021-07-06 | 2021-07-29 | -0.74 | 23 |
2024-01-25 | 2024-01-29 | -0.72 | 4 |
2024-03-26 | 2024-03-27 | -0.70 | 1 |
2021-08-18 | 2021-08-30 | -0.68 | 12 |