Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 32.09% | 16.72% |
CAGR﹪ | 18.55% | 9.91% |
Sharpe | 0.76 | 0.75 |
Prob. Sharpe Ratio | 83.37% | 84.31% |
Smart Sharpe | 0.72 | 0.71 |
Sortino | 1.09 | 1.28 |
Smart Sortino | 1.03 | 1.22 |
Sortino/√2 | 0.77 | 0.9 |
Smart Sortino/√2 | 0.73 | 0.86 |
Omega | 1.14 | 1.14 |
Max Drawdown | -21.41% | -13.72% |
Longest DD Days | 132 | 478 |
Volatility (ann.) | 27.22% | 13.84% |
R^2 | 0.07 | 0.07 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.87 | 0.72 |
Skew | -0.15 | 2.15 |
Kurtosis | 2.28 | 18.82 |
Expected Daily | 0.07% | 0.04% |
Expected Monthly | 1.4% | 0.78% |
Expected Yearly | 9.72% | 5.29% |
Kelly Criterion | 13.35% | 6.88% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.74% | -1.39% |
Expected Shortfall (cVaR) | -2.74% | -1.39% |
Max Consecutive Wins | 8 | 5 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | 0.14 | 0.15 |
Gain/Pain (1M) | 1.28 | 1.15 |
Payoff Ratio | 1.07 | 1.24 |
Profit Factor | 1.14 | 1.15 |
Common Sense Ratio | 1.13 | 1.42 |
CPC Index | 0.68 | 0.69 |
Tail Ratio | 0.99 | 1.23 |
Outlier Win Ratio | 2.73 | 5.0 |
Outlier Loss Ratio | 2.67 | 6.54 |
MTD | 0.86% | 7.35% |
3M | -11.65% | 10.68% |
6M | -10.68% | 12.57% |
YTD | -9.2% | 11.14% |
1Y | 4.24% | 12.86% |
3Y (ann.) | 18.55% | 9.91% |
5Y (ann.) | 18.55% | 9.91% |
10Y (ann.) | 18.55% | 9.91% |
All-time (ann.) | 18.55% | 9.91% |
Best Day | 7.39% | 8.19% |
Worst Day | -6.58% | -2.96% |
Best Month | 10.52% | 7.35% |
Worst Month | -9.98% | -3.95% |
Best Year | 27.26% | 11.14% |
Worst Year | -9.2% | 0.36% |
Avg. Drawdown | -4.86% | -2.44% |
Avg. Drawdown Days | 25 | 47 |
Recovery Factor | 1.5 | 1.22 |
Ulcer Index | 0.07 | 0.07 |
Serenity Index | 0.53 | 0.17 |
Avg. Up Month | 2.87% | 3.55% |
Avg. Down Month | -3.78% | -1.5% |
Win Days | 55.15% | 48.42% |
Win Month | 60.0% | 55.0% |
Win Quarter | 71.43% | 57.14% |
Win Year | 66.67% | 100.0% |
Beta | 0.53 | - |
Alpha | 0.15 | - |
Correlation | 26.73% | - |
Treynor Ratio | 61.04% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 4.65 | 27.26 | 5.87 | + |
2021 | 0.36 | 14.31 | 40.18 | + |
2022 | 11.14 | -9.20 | -0.83 | - |
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 |
2020-07-14 | 2020-07-23 | -4.86 | 9 |
2020-08-04 | 2020-08-21 | -4.75 | 17 |
2021-07-08 | 2021-07-23 | -3.82 | 15 |
2020-07-24 | 2020-07-31 | -3.39 | 7 |