Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 91.0% | 100.0% |
Cumulative Return | 16.58% | 24.24% |
CAGR﹪ | 5.83% | 8.35% |
Sharpe | 0.6 | 0.52 |
Prob. Sharpe Ratio | 80.45% | 78.42% |
Smart Sharpe | 0.47 | 0.41 |
Sortino | 0.81 | 0.79 |
Smart Sortino | 0.64 | 0.62 |
Sortino/√2 | 0.57 | 0.56 |
Smart Sortino/√2 | 0.45 | 0.44 |
Omega | 1.13 | 1.13 |
Max Drawdown | -14.73% | -38.01% |
Longest DD Days | 287 | 431 |
Volatility (ann.) | 13.19% | 24.91% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.4 | 0.22 |
Skew | -1.44 | 1.47 |
Kurtosis | 16.21 | 21.3 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.48% | 0.68% |
Expected Yearly | 3.91% | 5.58% |
Kelly Criterion | 11.06% | 1.28% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.34% | -2.53% |
Expected Shortfall (cVaR) | -1.34% | -2.53% |
Max Consecutive Wins | 11 | 10 |
Max Consecutive Losses | 6 | 7 |
Gain/Pain Ratio | 0.13 | 0.12 |
Gain/Pain (1M) | 0.64 | 0.44 |
Payoff Ratio | 1.0 | 0.95 |
Profit Factor | 1.13 | 1.12 |
Common Sense Ratio | 1.22 | 0.99 |
CPC Index | 0.63 | 0.55 |
Tail Ratio | 1.08 | 0.89 |
Outlier Win Ratio | 6.99 | 3.39 |
Outlier Loss Ratio | 5.35 | 3.46 |
MTD | 1.38% | 1.27% |
3M | 1.9% | 0.7% |
6M | 3.24% | -4.23% |
YTD | 0.86% | 2.15% |
1Y | 3.88% | 19.76% |
3Y (ann.) | 5.83% | 8.35% |
5Y (ann.) | 5.83% | 8.35% |
10Y (ann.) | 5.83% | 8.35% |
All-time (ann.) | 5.83% | 8.35% |
Best Day | 4.07% | 14.89% |
Worst Day | -7.71% | -8.34% |
Best Month | 10.12% | 19.77% |
Worst Month | -11.7% | -16.34% |
Best Year | 11.65% | 29.27% |
Worst Year | -0.23% | -6.4% |
Avg. Drawdown | -1.21% | -4.33% |
Avg. Drawdown Days | 17 | 47 |
Recovery Factor | 1.13 | 0.64 |
Ulcer Index | 0.03 | 0.15 |
Serenity Index | 0.82 | 0.1 |
Avg. Up Month | 1.45% | 5.56% |
Avg. Down Month | -1.66% | -1.87% |
Win Days | 55.47% | 51.82% |
Win Month | 65.62% | 56.25% |
Win Quarter | 54.55% | 72.73% |
Win Year | 75.0% | 75.0% |
Beta | 0.03 | - |
Alpha | 0.07 | - |
Correlation | 5.9% | - |
Treynor Ratio | 530.53% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.52 | -0.23 | -0.44 | - |
2022 | -6.40 | 11.65 | -1.82 | + |
2023 | 29.27 | 3.77 | 0.13 | - |
2024 | 2.15 | 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 |