Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 95.0% | 100.0% |
Cumulative Return | 5.19% | 14.16% |
CAGR% | 2.73% | 7.31% |
Sharpe | 0.44 | 11.05 |
Sortino | 0.58 | 102.23 |
Max Drawdown | -9.84% | -0.1% |
Longest DD Days | 511 | 1 |
Volatility (ann.) | 7.49% | 0.71% |
R^2 | 0.04 | 0.04 |
Calmar | 0.28 | 73.09 |
Skew | -3.5 | 9.17 |
Kurtosis | 46.8 | 94.74 |
Expected Daily % | 0.01% | 0.03% |
Expected Monthly % | 0.21% | 0.55% |
Expected Yearly % | 1.7% | 4.51% |
Kelly Criterion | 36.83% | 99.1% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.76% | -0.04% |
Expected Shortfall (cVaR) | -1.55% | -1.55% |
Payoff Ratio | 2.84 | 0.36 |
Profit Factor | 0.1 | 132.45 |
Common Sense Ratio | 0.13 | 474.47 |
CPC Index | 0.15 | 47.43 |
Tail Ratio | 1.27 | 3.58 |
Outlier Win Ratio | 2.65 | 21.28 |
Outlier Loss Ratio | 1.55 | 4.57 |
MTD | -0.21% | 0.17% |
3M | 6.44% | 2.18% |
6M | 6.04% | 5.48% |
YTD | 4.92% | 6.39% |
1Y | 4.63% | 9.27% |
3Y (ann.) | 2.73% | 7.31% |
5Y (ann.) | 2.73% | 7.31% |
10Y (ann.) | 2.73% | 7.31% |
All-time (ann.) | 2.73% | 7.31% |
Best Day | 1.76% | 0.51% |
Worst Day | -5.57% | -0.1% |
Best Month | 4.36% | 1.55% |
Worst Month | -7.25% | 0.17% |
Best Year | 4.92% | 6.39% |
Worst Year | -0.8% | 1.39% |
Avg. Drawdown | -0.88% | -0.1% |
Avg. Drawdown Days | 28 | 1 |
Recovery Factor | 0.53 | 141.55 |
Ulcer Index | inf | inf |
Avg. Up Month | 1.32% | 0.61% |
Avg. Down Month | nan% | nan% |
Win Days % | 53.27% | 99.76% |
Win Month % | 58.33% | 100.0% |
Win Quarter % | 55.56% | 100.0% |
Win Year % | 66.67% | 100.0% |
Beta | 2.14 | - |
Alpha | -0.14 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.39 | 1.07 | 0.77 | - |
2021 | 5.82 | -0.80 | -0.14 | - |
2022 | 6.39 | 4.92 | 0.77 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-11 | 2022-06-06 | -9.84 | 511 |
2022-06-14 | 2022-06-21 | -1.17 | 7 |
2022-07-28 | 2022-08-11 | -0.96 | 14 |
2022-07-20 | 2022-07-21 | -0.92 | 1 |
2022-06-28 | 2022-07-08 | -0.77 | 10 |
2022-06-08 | 2022-06-10 | -0.74 | 2 |
2022-07-14 | 2022-07-18 | -0.69 | 4 |
2020-12-15 | 2020-12-30 | -0.67 | 15 |
2022-06-23 | 2022-06-24 | -0.66 | 1 |
2020-11-11 | 2020-11-16 | -0.53 | 5 |