Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 6.93% | 6.8% |
CAGR﹪ | 12.68% | 12.42% |
Sharpe | -12.22 | -13.02 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -10.65 | -11.34 |
Sortino | -10.06 | -10.43 |
Smart Sortino | -8.76 | -9.09 |
Sortino/√2 | -7.11 | -7.38 |
Smart Sortino/√2 | -6.2 | -6.43 |
Omega | 0.1 | 0.1 |
Max Drawdown | -14.07% | -13.89% |
Longest DD Days | 155 | 112 |
Volatility (ann.) | 16.02% | 15.06% |
R^2 | 0.83 | 0.83 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.9 | 0.89 |
Skew | -0.75 | -0.7 |
Kurtosis | 3.18 | 3.55 |
Expected Daily | 0.05% | 0.05% |
Expected Monthly | 0.84% | 0.83% |
Expected Yearly | 3.41% | 3.34% |
Kelly Criterion | 0.44% | 10.33% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.61% | -1.51% |
Expected Shortfall (cVaR) | -1.61% | -1.51% |
Max Consecutive Wins | 7 | 9 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | 0.16 | 0.17 |
Gain/Pain (1M) | 0.76 | 0.75 |
Payoff Ratio | 0.88 | 0.92 |
Profit Factor | 1.16 | 1.17 |
Common Sense Ratio | 0.82 | 0.94 |
CPC Index | 0.54 | 0.61 |
Tail Ratio | 0.71 | 0.81 |
Outlier Win Ratio | 3.56 | 4.15 |
Outlier Loss Ratio | 3.76 | 3.84 |
MTD | 0.89% | 0.43% |
3M | 7.35% | 7.0% |
6M | 9.88% | 10.33% |
YTD | 16.59% | 16.24% |
1Y | 6.93% | 6.8% |
3Y (ann.) | 12.68% | 12.42% |
5Y (ann.) | 12.68% | 12.42% |
10Y (ann.) | 12.68% | 12.42% |
All-time (ann.) | 12.68% | 12.42% |
Best Day | 2.74% | 3.05% |
Worst Day | -4.35% | -4.27% |
Best Month | 6.63% | 6.91% |
Worst Month | -3.75% | -3.85% |
Best Year | 16.59% | 16.24% |
Worst Year | -8.28% | -8.12% |
Avg. Drawdown | -4.04% | -3.68% |
Avg. Drawdown Days | 38 | 27 |
Recovery Factor | 0.49 | 0.49 |
Ulcer Index | 0.05 | 0.05 |
Serenity Index | -16.09 | -15.8 |
Avg. Up Month | 4.35% | 4.29% |
Avg. Down Month | -2.52% | -2.49% |
Win Days | 53.52% | 57.04% |
Win Month | 50.0% | 50.0% |
Win Quarter | 66.67% | 66.67% |
Win Year | 50.0% | 50.0% |
Beta | 0.97 | - |
Alpha | 0.01 | - |
Correlation | 91.09% | - |
Treynor Ratio | -715.62% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | -8.12 | -8.28 | 1.02 | - |
2024 | 16.24 | 16.59 | 1.02 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-10-26 | 2024-03-29 | -14.07 | 155 |
2024-04-18 | 2024-05-15 | -4.22 | 27 |
2024-04-09 | 2024-04-12 | -0.95 | 3 |
2024-04-04 | 2024-04-08 | -0.89 | 4 |
2023-10-24 | 2023-10-25 | -0.06 | 1 |