Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 90.0% | 100.0% |
Cumulative Return | 11.9% | 11.41% |
CAGR﹪ | 4.25% | 4.08% |
Sharpe | -6.56 | -25.79 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.1 | -16.12 |
Sortino | -7.86 | -13.7 |
Smart Sortino | -4.91 | -8.57 |
Sortino/√2 | -5.56 | -9.69 |
Smart Sortino/√2 | -3.47 | -6.06 |
Omega | 0.13 | 0.13 |
Max Drawdown | -33.93% | -16.04% |
Longest DD Days | 278 | 274 |
Volatility (ann.) | 30.37% | 7.9% |
R^2 | 0.52 | 0.52 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.13 | 0.25 |
Skew | 2.3 | -7.4 |
Kurtosis | 211.0 | 141.01 |
Expected Daily | 0.02% | 0.02% |
Expected Monthly | 0.34% | 0.33% |
Expected Yearly | 2.85% | 2.74% |
Kelly Criterion | 6.55% | 12.17% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.11% | -0.8% |
Expected Shortfall (cVaR) | -3.11% | -0.8% |
Max Consecutive Wins | 7 | 19 |
Max Consecutive Losses | 5 | 9 |
Gain/Pain Ratio | 0.15 | 0.23 |
Gain/Pain (1M) | 1.3 | 0.53 |
Payoff Ratio | 1.03 | 0.88 |
Profit Factor | 1.15 | 1.23 |
Common Sense Ratio | 1.28 | 1.41 |
CPC Index | 0.62 | 0.64 |
Tail Ratio | 1.12 | 1.14 |
Outlier Win Ratio | 3.43 | 9.76 |
Outlier Loss Ratio | 2.42 | 7.04 |
MTD | 1.24% | -0.17% |
3M | 2.24% | 0.67% |
6M | 5.17% | 3.63% |
YTD | 1.51% | 0.95% |
1Y | 3.45% | 2.32% |
3Y (ann.) | 4.25% | 4.08% |
5Y (ann.) | 4.25% | 4.08% |
10Y (ann.) | 4.25% | 4.08% |
All-time (ann.) | 4.25% | 4.08% |
Best Day | 31.45% | 3.04% |
Worst Day | -27.99% | -8.25% |
Best Month | 5.68% | 6.53% |
Worst Month | -8.07% | -8.35% |
Best Year | 11.16% | 10.49% |
Worst Year | -2.34% | -2.4% |
Avg. Drawdown | -2.08% | -0.93% |
Avg. Drawdown Days | 25 | 25 |
Recovery Factor | 0.35 | 0.71 |
Ulcer Index | 0.03 | 0.03 |
Serenity Index | -67.55 | -24.56 |
Avg. Up Month | 1.96% | 1.94% |
Avg. Down Month | -3.09% | -2.79% |
Win Days | 52.59% | 58.82% |
Win Month | 69.7% | 60.61% |
Win Quarter | 54.55% | 54.55% |
Win Year | 75.0% | 75.0% |
Beta | 2.78 | - |
Alpha | -0.05 | - |
Correlation | 72.21% | - |
Treynor Ratio | -247.78% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -2.40 | -2.34 | 0.97 | + |
2022 | 10.49 | 11.16 | 1.06 | + |
2023 | 2.34 | 1.54 | 0.66 | - |
2024 | 0.95 | 1.51 | 1.59 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-01 | 2022-06-06 | -33.93 | 278 |
2022-09-15 | 2022-11-17 | -5.22 | 63 |
2023-07-04 | 2024-02-19 | -4.86 | 230 |
2022-12-16 | 2022-12-26 | -2.13 | 10 |
2022-12-02 | 2022-12-15 | -2.00 | 13 |
2024-03-12 | 2024-03-27 | -1.93 | 15 |
2023-01-10 | 2023-01-17 | -1.89 | 7 |
2022-11-22 | 2022-12-01 | -1.87 | 9 |
2023-01-19 | 2023-02-13 | -1.76 | 25 |
2023-02-14 | 2023-03-02 | -1.71 | 16 |