Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 76.0% | 100.0% |
Cumulative Return | 20.66% | 12.28% |
CAGR﹪ | 7.14% | 4.34% |
Sharpe | -6.57 | -29.16 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.98 | -17.68 |
Sortino | -8.1 | -14.05 |
Smart Sortino | -4.91 | -8.52 |
Sortino/√2 | -5.73 | -9.93 |
Smart Sortino/√2 | -3.47 | -6.02 |
Omega | 0.13 | 0.13 |
Max Drawdown | -33.93% | -14.59% |
Longest DD Days | 278 | 274 |
Volatility (ann.) | 30.02% | 7.0% |
R^2 | 0.43 | 0.43 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.21 | 0.3 |
Skew | 2.92 | -10.32 |
Kurtosis | 194.1 | 217.25 |
Expected Daily | 0.03% | 0.02% |
Expected Monthly | 0.55% | 0.34% |
Expected Yearly | 4.81% | 2.94% |
Kelly Criterion | 12.48% | 10.92% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.06% | -0.71% |
Expected Shortfall (cVaR) | -3.06% | -0.71% |
Max Consecutive Wins | 7 | 24 |
Max Consecutive Losses | 5 | 8 |
Gain/Pain Ratio | 0.2 | 0.25 |
Gain/Pain (1M) | 1.84 | 0.6 |
Payoff Ratio | 1.19 | 0.84 |
Profit Factor | 1.2 | 1.25 |
Common Sense Ratio | 1.41 | 1.69 |
CPC Index | 0.75 | 0.62 |
Tail Ratio | 1.18 | 1.35 |
Outlier Win Ratio | 3.43 | 9.76 |
Outlier Loss Ratio | 2.22 | 8.05 |
MTD | 7.19% | 0.12% |
3M | 9.01% | 0.69% |
6M | 11.5% | 4.49% |
YTD | 8.82% | 1.22% |
1Y | 10.89% | 2.55% |
3Y (ann.) | 7.14% | 4.34% |
5Y (ann.) | 7.14% | 4.34% |
10Y (ann.) | 7.14% | 4.34% |
All-time (ann.) | 7.14% | 4.34% |
Best Day | 31.45% | 2.78% |
Worst Day | -27.99% | -8.56% |
Best Month | 7.19% | 5.72% |
Worst Month | -8.07% | -8.76% |
Best Year | 11.16% | 8.69% |
Worst Year | -1.76% | -0.6% |
Avg. Drawdown | -2.54% | -0.73% |
Avg. Drawdown Days | 31 | 20 |
Recovery Factor | 0.61 | 0.84 |
Ulcer Index | 0.03 | 0.02 |
Serenity Index | -71.38 | -35.07 |
Avg. Up Month | 2.16% | 1.61% |
Avg. Down Month | -3.09% | -2.61% |
Win Days | 52.48% | 59.43% |
Win Month | 70.59% | 67.65% |
Win Quarter | 58.33% | 66.67% |
Win Year | 75.0% | 75.0% |
Beta | 2.81 | - |
Alpha | -0.01 | - |
Correlation | 65.66% | - |
Treynor Ratio | -241.36% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -0.60 | -1.76 | 2.92 | - |
2022 | 8.69 | 11.16 | 1.28 | + |
2023 | 2.67 | 1.54 | 0.58 | - |
2024 | 1.22 | 8.82 | 7.20 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-01 | 2022-06-06 | -33.93 | 278 |
2024-03-12 | 2024-04-09 | -8.33 | 28 |
2022-09-15 | 2022-11-17 | -5.22 | 63 |
2023-07-04 | 2024-03-01 | -4.86 | 241 |
2022-12-16 | 2022-12-30 | -2.13 | 14 |
2022-12-02 | 2022-12-15 | -2.00 | 13 |
2023-01-10 | 2023-01-17 | -1.89 | 7 |
2022-11-22 | 2022-12-01 | -1.87 | 9 |
2023-01-19 | 2023-03-29 | -1.76 | 69 |
2023-03-30 | 2023-04-19 | -1.17 | 20 |