Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 95.0% |
Cumulative Return | 13.99% | 13.93% |
CAGR﹪ | 4.84% | 4.82% |
Sharpe | -9.52 | -24.52 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.1 | -18.28 |
Sortino | -10.1 | -15.03 |
Smart Sortino | -7.53 | -11.2 |
Sortino/√2 | -7.14 | -10.63 |
Smart Sortino/√2 | -5.32 | -7.92 |
Omega | 0.1 | 0.1 |
Max Drawdown | -13.87% | -1.73% |
Longest DD Days | 735 | 734 |
Volatility (ann.) | 20.25% | 7.94% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.35 | 2.79 |
Skew | 0.9 | 13.21 |
Kurtosis | 76.13 | 191.98 |
Expected Daily | 0.06% | 0.05% |
Expected Monthly | 1.01% | 1.01% |
Expected Yearly | 3.33% | 3.31% |
Kelly Criterion | -17.22% | 26.83% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.04% | -0.77% |
Expected Shortfall (cVaR) | -2.04% | -0.77% |
Max Consecutive Wins | 6 | 11 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | 0.44 | 1.61 |
Gain/Pain (1M) | 9.5 | 7.76 |
Payoff Ratio | 0.64 | 1.01 |
Profit Factor | 1.44 | 2.61 |
Common Sense Ratio | 1.71 | 2.93 |
CPC Index | 0.5 | 1.66 |
Tail Ratio | 1.19 | 1.12 |
Outlier Win Ratio | 3.3 | 8.66 |
Outlier Loss Ratio | 1.82 | 6.07 |
MTD | 1.82% | 1.41% |
3M | 14.51% | 12.69% |
6M | 14.51% | 12.69% |
YTD | 11.0% | 11.0% |
1Y | 14.51% | 12.69% |
3Y (ann.) | 4.84% | 4.82% |
5Y (ann.) | 4.84% | 4.82% |
10Y (ann.) | 4.84% | 4.82% |
All-time (ann.) | 4.84% | 4.82% |
Best Day | 12.35% | 7.34% |
Worst Day | -12.19% | -0.63% |
Best Month | 7.85% | 8.26% |
Worst Month | -2.44% | -1.11% |
Best Year | 11.0% | 11.0% |
Worst Year | -2.54% | -1.32% |
Avg. Drawdown | -0.92% | -0.2% |
Avg. Drawdown Days | 32 | 36 |
Recovery Factor | 1.01 | 8.06 |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | -411.42 | -1024.7 |
Avg. Up Month | 1.84% | 1.65% |
Avg. Down Month | -0.97% | -0.57% |
Win Days | 54.22% | 63.27% |
Win Month | 69.23% | 76.92% |
Win Quarter | 83.33% | 83.33% |
Win Year | 75.0% | 75.0% |
Beta | 0.14 | - |
Alpha | 0.14 | - |
Correlation | 5.65% | - |
Treynor Ratio | -4755.67% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.45 | 2.14 | 0.88 | - |
2022 | -1.32 | -2.54 | 1.93 | - |
2023 | 1.52 | 3.16 | 2.08 | + |
2024 | 11.00 | 11.00 | 1.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2024-01-11 | -13.87 | 735 |
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 |
2021-08-18 | 2021-08-30 | -0.68 | 12 |
2024-02-08 | 2024-02-15 | -0.67 | 7 |
2021-07-30 | 2021-08-03 | -0.65 | 4 |