Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | 17.56% | 18.68% |
CAGR﹪ | 6.12% | 6.49% |
Sharpe | 0.62 | 17.76 |
Prob. Sharpe Ratio | 81.46% | 100.0% |
Smart Sharpe | 0.49 | 13.9 |
Sortino | 0.85 | 64.31 |
Smart Sortino | 0.66 | 50.34 |
Sortino/√2 | 0.6 | 45.47 |
Smart Sortino/√2 | 0.47 | 35.6 |
Omega | 1.14 | 1.14 |
Max Drawdown | -14.73% | -1.25% |
Longest DD Days | 287 | 210 |
Volatility (ann.) | 13.21% | 0.44% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.42 | 5.17 |
Skew | -1.41 | 0.03 |
Kurtosis | 15.99 | 0.82 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.51% | 0.54% |
Expected Yearly | 4.13% | 4.37% |
Kelly Criterion | 18.55% | 83.87% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.34% | -0.01% |
Expected Shortfall (cVaR) | -1.34% | -0.01% |
Max Consecutive Wins | 11 | 325 |
Max Consecutive Losses | 6 | 53 |
Gain/Pain Ratio | 0.14 | 13.57 |
Gain/Pain (1M) | 0.67 | 13.57 |
Payoff Ratio | 1.22 | 1.45 |
Profit Factor | 1.14 | 14.57 |
Common Sense Ratio | 1.24 | 46.1 |
CPC Index | 0.77 | 19.05 |
Tail Ratio | 1.09 | 3.16 |
Outlier Win Ratio | 2.35 | 29.54 |
Outlier Loss Ratio | 1.67 | 41.17 |
MTD | 1.38% | 0.58% |
3M | 1.9% | 2.26% |
6M | 3.24% | 5.04% |
YTD | 0.86% | 2.13% |
1Y | 3.88% | 7.99% |
3Y (ann.) | 6.12% | 6.49% |
5Y (ann.) | 6.12% | 6.49% |
10Y (ann.) | 6.12% | 6.49% |
All-time (ann.) | 6.12% | 6.49% |
Best Day | 4.07% | 0.11% |
Worst Day | -7.71% | -0.03% |
Best Month | 10.12% | 1.56% |
Worst Month | -11.7% | -0.52% |
Best Year | 11.65% | 7.42% |
Worst Year | 0.61% | 2.13% |
Avg. Drawdown | -1.16% | -1.25% |
Avg. Drawdown Days | 16 | 210 |
Recovery Factor | 1.19 | 14.89 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 0.87 | 1.87 |
Avg. Up Month | 1.89% | 0.55% |
Avg. Down Month | - | - |
Win Days | 55.23% | 90.47% |
Win Month | 65.62% | 90.62% |
Win Quarter | 63.64% | 90.91% |
Win Year | 100.0% | 100.0% |
Beta | -0.82 | - |
Alpha | 0.15 | - |
Correlation | -2.71% | - |
Treynor Ratio | -21.42% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.01 | 0.61 | 0.15 | - |
2022 | 4.01 | 11.65 | 2.91 | + |
2023 | 7.42 | 3.77 | 0.51 | - |
2024 | 2.13 | 0.86 | 0.40 | - |
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 | 2022-07-11 | -1.28 | 12 |