Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 91.0% | 100.0% |
Cumulative Return | 18.97% | 14.24% |
CAGR﹪ | 4.9% | 3.73% |
Sharpe | 0.47 | 15.56 |
Prob. Sharpe Ratio | 72.38% | 100.0% |
Smart Sharpe | 0.45 | 14.81 |
Sortino | 0.61 | 55.94 |
Smart Sortino | 0.58 | 53.27 |
Sortino/√2 | 0.43 | 39.56 |
Smart Sortino/√2 | 0.41 | 37.67 |
Omega | 1.21 | 1.21 |
Max Drawdown | -52.16% | -1.25% |
Longest DD Days | 798 | 195 |
Volatility (ann.) | 45.16% | 0.45% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.09 | 2.97 |
Skew | -5.61 | 0.67 |
Kurtosis | 172.12 | 3.58 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.7% | 0.53% |
Expected Yearly | 3.53% | 2.7% |
Kelly Criterion | -84.37% | 80.5% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.59% | -0.02% |
Expected Shortfall (cVaR) | -4.59% | -0.02% |
Max Consecutive Wins | 6 | 357 |
Max Consecutive Losses | 5 | 55 |
Gain/Pain Ratio | 0.21 | 10.55 |
Gain/Pain (1M) | 0.56 | 10.55 |
Payoff Ratio | 0.33 | 1.45 |
Profit Factor | 1.21 | 11.55 |
Common Sense Ratio | 1.47 | 32.96 |
CPC Index | 0.22 | 14.78 |
Tail Ratio | 1.22 | 2.85 |
Outlier Win Ratio | 2.69 | 66.23 |
Outlier Loss Ratio | 1.91 | 82.78 |
MTD | 0.84% | 0.15% |
3M | 3.99% | 1.17% |
6M | 7.59% | 3.75% |
YTD | 7.83% | 4.06% |
1Y | 50.51% | 8.48% |
3Y (ann.) | 26.07% | 3.66% |
5Y (ann.) | 4.9% | 3.73% |
10Y (ann.) | 4.9% | 3.73% |
All-time (ann.) | 4.9% | 3.73% |
Best Day | 32.08% | 0.16% |
Worst Day | -45.56% | -0.03% |
Best Month | 31.46% | 1.43% |
Worst Month | -51.26% | -0.52% |
Best Year | 39.58% | 4.24% |
Worst Year | -28.47% | 1.3% |
Avg. Drawdown | -1.95% | -1.25% |
Avg. Drawdown Days | 26 | 195 |
Recovery Factor | 0.36 | 11.35 |
Ulcer Index | 0.25 | 0.0 |
Serenity Index | 0.04 | 0.94 |
Avg. Up Month | 5.07% | 0.67% |
Avg. Down Month | -27.32% | -0.43% |
Win Days | 54.17% | 88.47% |
Win Month | 80.0% | 88.0% |
Win Quarter | 90.91% | 81.82% |
Win Year | 80.0% | 100.0% |
Beta | 7.56 | - |
Alpha | -0.32 | - |
Correlation | 7.55% | - |
Treynor Ratio | 2.51% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.63 | 0.25 | 0.15 | - |
2022 | 2.29 | -28.47 | -12.45 | - |
2023 | 1.30 | 10.24 | 7.85 | + |
2024 | 4.24 | 39.58 | 9.32 | + |
2025 | 4.06 | 7.83 | 1.93 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-06-15 | 2024-08-21 | -52.16 | 798 |
2022-01-25 | 2022-02-25 | -8.49 | 31 |
2021-11-29 | 2022-01-04 | -2.32 | 36 |
2022-01-14 | 2022-01-24 | -2.06 | 10 |
2022-01-06 | 2022-01-13 | -2.00 | 7 |
2024-10-25 | 2024-11-18 | -0.93 | 24 |
2025-01-08 | 2025-01-27 | -0.89 | 19 |
2021-11-24 | 2021-11-26 | -0.88 | 2 |
2025-02-03 | 2025-02-17 | -0.77 | 14 |
2024-08-22 | 2024-09-06 | -0.71 | 15 |