Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 9.43% | 38.95% |
CAGR﹪ | 2.38% | 8.95% |
Sharpe | 0.34 | 4.09 |
Prob. Sharpe Ratio | 73.73% | 100.0% |
Smart Sharpe | 0.24 | 2.88 |
Sortino | 0.47 | 96.15 |
Smart Sortino | 0.33 | 67.69 |
Sortino/√2 | 0.33 | 67.99 |
Smart Sortino/√2 | 0.23 | 47.86 |
Omega | 1.07 | 1.07 |
Max Drawdown | -9.84% | -1.25% |
Longest DD Days | 511 | 209 |
Volatility (ann.) | 8.48% | 2.27% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.05 | -0.05 |
Calmar | 0.24 | 7.14 |
Skew | -1.17 | 16.66 |
Kurtosis | 14.17 | 282.52 |
Expected Daily | 0.01% | 0.04% |
Expected Monthly | 0.19% | 0.7% |
Expected Yearly | 1.82% | 6.8% |
Kelly Criterion | -13.49% | 90.87% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.87% | -0.2% |
Expected Shortfall (cVaR) | -0.87% | -0.2% |
Max Consecutive Wins | 7 | 461 |
Max Consecutive Losses | 5 | 51 |
Gain/Pain Ratio | 0.07 | 25.09 |
Gain/Pain (1M) | 0.49 | 25.09 |
Payoff Ratio | 0.72 | 1.95 |
Profit Factor | 1.07 | 26.09 |
Common Sense Ratio | 1.17 | 69.84 |
CPC Index | 0.4 | 47.76 |
Tail Ratio | 1.1 | 2.68 |
Outlier Win Ratio | 2.18 | 17.63 |
Outlier Loss Ratio | 1.54 | 24.59 |
MTD | -0.27% | 0.71% |
3M | -1.08% | 2.19% |
6M | -1.53% | 3.89% |
YTD | -2.23% | 4.61% |
1Y | -1.84% | 8.79% |
3Y (ann.) | 2.84% | 9.48% |
5Y (ann.) | 2.38% | 8.95% |
10Y (ann.) | 2.38% | 8.95% |
All-time (ann.) | 2.38% | 8.95% |
Best Day | 2.45% | 2.47% |
Worst Day | -5.57% | -0.03% |
Best Month | 4.36% | 7.61% |
Worst Month | -7.25% | -0.52% |
Best Year | 8.15% | 11.92% |
Worst Year | -2.23% | 1.93% |
Avg. Drawdown | -0.94% | -0.65% |
Avg. Drawdown Days | 24 | 108 |
Recovery Factor | 0.96 | 31.04 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 0.9 | 29.4 |
Avg. Up Month | 1.23% | 0.94% |
Avg. Down Month | -0.08% | -0.52% |
Win Days | 52.52% | 93.97% |
Win Month | 51.06% | 91.49% |
Win Quarter | 52.94% | 88.24% |
Win Year | 60.0% | 100.0% |
Beta | 0.47 | - |
Alpha | -0.01 | - |
Correlation | 12.45% | - |
Treynor Ratio | 20.27% | - |
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 | 4.61 | -2.23 | -0.48 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-11 | 2022-06-06 | -9.84 | 511 |
2023-07-11 | 2024-07-26 | -4.50 | 381 |
2022-09-19 | 2022-11-16 | -4.26 | 58 |
2023-01-09 | 2023-03-07 | -1.50 | 57 |
2022-12-01 | 2022-12-13 | -1.38 | 12 |
2022-12-15 | 2023-01-03 | -1.28 | 19 |
2022-06-14 | 2022-06-21 | -1.17 | 7 |
2022-07-28 | 2022-08-18 | -1.13 | 21 |
2023-06-13 | 2023-06-29 | -1.07 | 16 |
2022-08-22 | 2022-09-01 | -1.01 | 10 |