Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 20.31% | 48.0% |
CAGR﹪ | 4.3% | 9.34% |
Sharpe | 0.55 | 4.53 |
Prob. Sharpe Ratio | 86.4% | 100.0% |
Smart Sharpe | 0.4 | 3.28 |
Sortino | 0.78 | 106.73 |
Smart Sortino | 0.57 | 77.18 |
Sortino/√2 | 0.55 | 75.47 |
Smart Sortino/√2 | 0.4 | 54.57 |
Omega | 1.11 | 1.11 |
Max Drawdown | -9.84% | -1.25% |
Longest DD Days | 528 | 209 |
Volatility (ann.) | 8.93% | 2.12% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.44 | 7.44 |
Skew | -0.68 | 17.75 |
Kurtosis | 11.4 | 322.39 |
Expected Daily | 0.02% | 0.04% |
Expected Monthly | 0.34% | 0.73% |
Expected Yearly | 3.13% | 6.75% |
Kelly Criterion | -7.8% | 92.06% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.91% | -0.18% |
Expected Shortfall (cVaR) | -0.91% | -0.18% |
Max Consecutive Wins | 7 | 597 |
Max Consecutive Losses | 5 | 51 |
Gain/Pain Ratio | 0.11 | 29.89 |
Gain/Pain (1M) | 0.82 | 29.89 |
Payoff Ratio | 0.78 | 1.94 |
Profit Factor | 1.11 | 30.89 |
Common Sense Ratio | 1.19 | 125.31 |
CPC Index | 0.46 | 56.76 |
Tail Ratio | 1.08 | 4.06 |
Outlier Win Ratio | 2.07 | 17.74 |
Outlier Loss Ratio | 1.58 | 26.35 |
MTD | 1.56% | 0.6% |
3M | 11.26% | 3.89% |
6M | 9.05% | 5.98% |
YTD | 3.43% | 1.74% |
1Y | 8.6% | 10.14% |
3Y (ann.) | 10.0% | 9.84% |
5Y (ann.) | 4.3% | 9.34% |
10Y (ann.) | 4.3% | 9.34% |
All-time (ann.) | 4.3% | 9.34% |
Best Day | 3.13% | 2.47% |
Worst Day | -5.57% | -0.03% |
Best Month | 7.42% | 7.61% |
Worst Month | -7.25% | -0.52% |
Best Year | 8.15% | 11.92% |
Worst Year | -0.8% | 1.74% |
Avg. Drawdown | -0.96% | -0.65% |
Avg. Drawdown Days | 24 | 108 |
Recovery Factor | 2.06 | 38.25 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 1.89 | 39.18 |
Avg. Up Month | 1.51% | 0.94% |
Avg. Down Month | -0.08% | -0.52% |
Win Days | 52.9% | 94.76% |
Win Month | 53.7% | 92.59% |
Win Quarter | 57.89% | 89.47% |
Win Year | 83.33% | 100.0% |
Beta | 0.48 | - |
Alpha | 0.0 | - |
Correlation | 11.3% | - |
Treynor Ratio | 42.6% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.93 | 1.07 | 0.55 | - |
2021 | 8.39 | -0.80 | -0.10 | - |
2022 | 11.92 | 8.15 | 0.68 | - |
2023 | 7.42 | 3.22 | 0.43 | - |
2024 | 9.51 | 3.92 | 0.41 | - |
2025 | 1.74 | 3.43 | 1.97 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-11 | 2022-06-06 | -9.84 | 511 |
2023-07-11 | 2024-12-20 | -4.77 | 528 |
2022-09-19 | 2022-11-16 | -4.26 | 58 |
2025-01-22 | 2025-01-30 | -1.51 | 8 |
2023-01-09 | 2023-01-31 | -1.50 | 22 |
2023-02-02 | 2023-03-02 | -1.46 | 28 |
2022-12-01 | 2022-12-13 | -1.38 | 12 |
2024-12-28 | 2025-01-16 | -1.32 | 19 |
2022-12-15 | 2023-01-03 | -1.28 | 19 |
2022-06-14 | 2022-06-21 | -1.17 | 7 |