Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 11.18% | 35.75% |
CAGR﹪ | 3.07% | 9.11% |
Sharpe | 0.43 | 3.99 |
Prob. Sharpe Ratio | 77.55% | 100.0% |
Smart Sharpe | 0.31 | 2.86 |
Sortino | 0.59 | 93.75 |
Smart Sortino | 0.43 | 67.12 |
Sortino/√2 | 0.42 | 66.29 |
Smart Sortino/√2 | 0.3 | 47.46 |
Omega | 1.09 | 1.09 |
Max Drawdown | -9.84% | -1.25% |
Longest DD Days | 511 | 209 |
Volatility (ann.) | 8.48% | 2.38% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.04 | -0.04 |
Calmar | 0.31 | 7.26 |
Skew | -1.26 | 15.88 |
Kurtosis | 15.6 | 256.5 |
Expected Daily | 0.01% | 0.04% |
Expected Monthly | 0.25% | 0.71% |
Expected Yearly | 2.14% | 6.3% |
Kelly Criterion | -13.82% | 90.09% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.86% | -0.21% |
Expected Shortfall (cVaR) | -0.86% | -0.21% |
Max Consecutive Wins | 7 | 380 |
Max Consecutive Losses | 5 | 51 |
Gain/Pain Ratio | 0.09 | 23.32 |
Gain/Pain (1M) | 0.6 | 23.32 |
Payoff Ratio | 0.71 | 2.03 |
Profit Factor | 1.09 | 24.32 |
Common Sense Ratio | 1.19 | 65.1 |
CPC Index | 0.41 | 46.18 |
Tail Ratio | 1.1 | 2.68 |
Outlier Win Ratio | 2.22 | 17.37 |
Outlier Loss Ratio | 1.55 | 24.29 |
MTD | 0.36% | 0.65% |
3M | 0.68% | 2.27% |
6M | 3.92% | 5.04% |
YTD | -0.67% | 2.2% |
1Y | 1.36% | 8.04% |
3Y (ann.) | 3.56% | 9.34% |
5Y (ann.) | 3.07% | 9.11% |
10Y (ann.) | 3.07% | 9.11% |
All-time (ann.) | 3.07% | 9.11% |
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 | -0.8% | 1.93% |
Avg. Drawdown | -0.94% | -0.65% |
Avg. Drawdown Days | 21 | 108 |
Recovery Factor | 1.14 | 28.49 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 1.06 | 25.63 |
Avg. Up Month | 1.22% | 0.95% |
Avg. Down Month | -0.08% | -0.52% |
Win Days | 52.69% | 93.36% |
Win Month | 55.81% | 90.7% |
Win Quarter | 60.0% | 86.67% |
Win Year | 60.0% | 100.0% |
Beta | 0.46 | - |
Alpha | -0.01 | - |
Correlation | 13.04% | - |
Treynor Ratio | 24.04% | - |
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 | 2.20 | -0.67 | -0.30 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-11 | 2022-06-06 | -9.84 | 511 |
2023-07-11 | 2024-03-28 | -4.50 | 261 |
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 |