Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 76.0% | 100.0% |
Cumulative Return | 15.91% | 15.33% |
CAGR﹪ | 5.62% | 5.42% |
Sharpe | -16.85 | -17.77 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -13.09 | -13.8 |
Sortino | -11.89 | -12.06 |
Smart Sortino | -9.23 | -9.36 |
Sortino/√2 | -8.4 | -8.52 |
Smart Sortino/√2 | -6.53 | -6.62 |
Omega | 0.06 | 0.06 |
Max Drawdown | -14.73% | -21.33% |
Longest DD Days | 287 | 238 |
Volatility (ann.) | 12.02% | 11.41% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.38 | 0.25 |
Skew | -1.56 | -8.75 |
Kurtosis | 20.06 | 133.1 |
Expected Daily | 0.02% | 0.02% |
Expected Monthly | 0.45% | 0.43% |
Expected Yearly | 3.76% | 3.63% |
Kelly Criterion | 8.4% | 13.58% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.22% | -1.16% |
Expected Shortfall (cVaR) | -1.22% | -1.16% |
Max Consecutive Wins | 8 | 13 |
Max Consecutive Losses | 6 | 12 |
Gain/Pain Ratio | 0.13 | 0.23 |
Gain/Pain (1M) | 0.62 | 0.64 |
Payoff Ratio | 0.95 | 0.89 |
Profit Factor | 1.13 | 1.23 |
Common Sense Ratio | 1.24 | 2.06 |
CPC Index | 0.59 | 0.65 |
Tail Ratio | 1.1 | 1.67 |
Outlier Win Ratio | 5.2 | 8.12 |
Outlier Loss Ratio | 2.38 | 5.48 |
MTD | 1.38% | -0.34% |
3M | 1.46% | 1.03% |
6M | 2.79% | 2.38% |
YTD | 0.86% | 0.61% |
1Y | 3.33% | 2.35% |
3Y (ann.) | 5.62% | 5.42% |
5Y (ann.) | 5.62% | 5.42% |
10Y (ann.) | 5.62% | 5.42% |
All-time (ann.) | 5.62% | 5.42% |
Best Day | 4.07% | 4.57% |
Worst Day | -7.71% | -10.45% |
Best Month | 10.12% | 11.85% |
Worst Month | -11.7% | -10.05% |
Best Year | 11.65% | 9.1% |
Worst Year | -0.81% | 0.61% |
Avg. Drawdown | -1.17% | -0.91% |
Avg. Drawdown Days | 16 | 16 |
Recovery Factor | 1.08 | 0.72 |
Ulcer Index | 0.03 | 0.03 |
Serenity Index | -23.45 | -26.52 |
Avg. Up Month | 2.11% | 2.16% |
Avg. Down Month | -2.78% | -2.29% |
Win Days | 55.49% | 59.37% |
Win Month | 65.62% | 63.64% |
Win Quarter | 54.55% | 81.82% |
Win Year | 75.0% | 100.0% |
Beta | 0.08 | - |
Alpha | 0.06 | - |
Correlation | 7.47% | - |
Treynor Ratio | -8690.4% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.26 | -0.81 | -0.64 | - |
2022 | 9.10 | 11.65 | 1.28 | + |
2023 | 3.76 | 3.77 | 1.00 | + |
2024 | 0.61 | 0.86 | 1.41 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-08-26 | 2022-06-09 | -14.73 | 287 |
2022-09-15 | 2022-11-08 | -5.87 | 54 |
2023-08-01 | 2024-03-01 | -4.76 | 213 |
2022-12-16 | 2022-12-27 | -2.10 | 11 |
2023-01-09 | 2023-02-06 | -2.03 | 28 |
2022-11-15 | 2022-11-29 | -1.89 | 14 |
2022-12-07 | 2022-12-12 | -1.88 | 5 |
2022-12-05 | 2022-12-06 | -1.75 | 1 |
2022-06-14 | 2022-06-24 | -1.33 | 10 |
2022-06-29 | 2022-07-07 | -1.28 | 8 |