Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 32.87% | 9.66% |
CAGR﹪ | 18.77% | 5.74% |
Sharpe | 0.77 | 59.46 |
Prob. Sharpe Ratio | 83.72% | - |
Smart Sharpe | 0.73 | 56.17 |
Sortino | 1.1 | - |
Smart Sortino | 1.04 | - |
Sortino/√2 | 0.78 | - |
Smart Sortino/√2 | 0.73 | - |
Omega | 1.14 | 1.14 |
Max Drawdown | -21.41% | - |
Longest DD Days | - | - |
Volatility (ann.) | 27.2% | 0.09% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.04 | 0.04 |
Calmar | 0.88 | - |
Skew | -0.15 | 1.15 |
Kurtosis | 2.26 | 1.42 |
Expected Daily | 0.07% | 0.02% |
Expected Monthly | 1.43% | 0.46% |
Expected Yearly | 9.94% | 3.12% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.74% | -0.01% |
Expected Shortfall (cVaR) | -2.74% | -0.01% |
Max Consecutive Wins | 8 | 415 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | 0.14 | - |
Gain/Pain (1M) | 1.3 | - |
Payoff Ratio | - | - |
Profit Factor | 1.14 | - |
Common Sense Ratio | 1.15 | - |
CPC Index | - | - |
Tail Ratio | 1.0 | 1.95 |
Outlier Win Ratio | 1.72 | 93.04 |
Outlier Loss Ratio | 1.96 | - |
MTD | 0.86% | 0.71% |
3M | -11.65% | 2.13% |
6M | -10.68% | 3.86% |
YTD | -9.2% | 1.36% |
1Y | 4.24% | 6.5% |
3Y (ann.) | 18.77% | 5.74% |
5Y (ann.) | 18.77% | 5.74% |
10Y (ann.) | 18.77% | 5.74% |
All-time (ann.) | 18.77% | 5.74% |
Best Day | 7.39% | 0.04% |
Worst Day | -6.58% | 0.0% |
Best Month | 10.52% | 0.71% |
Worst Month | -9.98% | 0.36% |
Best Year | 28.02% | 5.82% |
Worst Year | -9.2% | 1.36% |
Avg. Drawdown | -4.73% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.54 | - |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | 0.55 | - |
Avg. Up Month | 4.96% | 0.46% |
Avg. Down Month | - | - |
Win Days | 55.1% | 100.0% |
Win Month | 60.0% | 100.0% |
Win Quarter | 71.43% | 100.0% |
Win Year | 66.67% | 100.0% |
Beta | -12.03 | - |
Alpha | 0.88 | - |
Correlation | -4.15% | - |
Treynor Ratio | -2.73% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 2.23 | 28.02 | 12.56 | + |
2021 | 5.82 | 14.31 | 2.46 | + |
2022 | 1.36 | -9.20 | -6.74 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-02-25 | -21.41 | 94 |
2021-02-17 | 2021-06-29 | -14.37 | 132 |
2020-09-03 | 2020-10-08 | -10.05 | 35 |
2021-09-08 | 2021-11-12 | -9.77 | 65 |
2020-10-14 | 2020-12-21 | -9.16 | 68 |
2020-12-24 | 2021-02-02 | -7.67 | 40 |
2020-07-08 | 2020-07-31 | -5.31 | 23 |
2020-08-04 | 2020-08-21 | -4.75 | 17 |
2021-07-08 | 2021-07-23 | -3.82 | 15 |
2021-08-10 | 2021-08-20 | -2.84 | 10 |