Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 31.94% | 51.3% |
CAGR﹪ | 5.96% | 9.04% |
Sharpe | 0.73 | 4.56 |
Prob. Sharpe Ratio | 93.63% | 100.0% |
Smart Sharpe | 0.52 | 3.26 |
Sortino | 1.06 | 107.44 |
Smart Sortino | 0.75 | 76.82 |
Sortino/√2 | 0.75 | 75.97 |
Smart Sortino/√2 | 0.53 | 54.32 |
Omega | 1.14 | 1.14 |
Max Drawdown | -9.84% | -1.25% |
Longest DD Days | 528 | 209 |
Volatility (ann.) | 8.99% | 2.02% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.61 | 7.2 |
Skew | -0.55 | 18.61 |
Kurtosis | 10.19 | 354.74 |
Expected Daily | 0.02% | 0.04% |
Expected Monthly | 0.47% | 0.7% |
Expected Yearly | 4.73% | 7.15% |
Kelly Criterion | -5.67% | 92.65% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.91% | -0.17% |
Expected Shortfall (cVaR) | -0.91% | -0.17% |
Max Consecutive Wins | 7 | 701 |
Max Consecutive Losses | 5 | 51 |
Gain/Pain Ratio | 0.14 | 31.56 |
Gain/Pain (1M) | 1.2 | 31.56 |
Payoff Ratio | 0.81 | 1.83 |
Profit Factor | 1.14 | 32.56 |
Common Sense Ratio | 1.28 | 838.55 |
CPC Index | 0.49 | 56.91 |
Tail Ratio | 1.12 | 25.75 |
Outlier Win Ratio | 2.07 | 19.25 |
Outlier Loss Ratio | 1.55 | 25.93 |
MTD | 0.99% | 0.1% |
3M | 8.45% | 1.17% |
6M | 12.75% | 3.88% |
YTD | 13.43% | 4.01% |
1Y | 20.4% | 9.38% |
3Y (ann.) | 8.06% | 7.54% |
5Y (ann.) | 5.96% | 9.04% |
10Y (ann.) | 5.96% | 9.04% |
All-time (ann.) | 5.96% | 9.04% |
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 | 13.43% | 11.92% |
Worst Year | -0.8% | 1.93% |
Avg. Drawdown | -0.91% | -0.65% |
Avg. Drawdown Days | 21 | 108 |
Recovery Factor | 3.25 | 40.88 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 3.13 | 44.13 |
Avg. Up Month | 1.56% | 0.86% |
Avg. Down Month | -0.08% | -0.52% |
Win Days | 52.69% | 95.24% |
Win Month | 57.63% | 93.22% |
Win Quarter | 61.9% | 90.48% |
Win Year | 83.33% | 100.0% |
Beta | 0.47 | - |
Alpha | 0.02 | - |
Correlation | 10.53% | - |
Treynor Ratio | 68.18% | - |
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 | 4.01 | 13.43 | 3.35 | + |
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 |
2025-03-19 | 2025-05-29 | -3.18 | 71 |
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 |