Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 85.0% | 100.0% |
Cumulative Return | 12.91% | 34.17% |
CAGR﹪ | 3.65% | 9.07% |
Sharpe | 0.35 | 2.14 |
Prob. Sharpe Ratio | 72.43% | 100.0% |
Smart Sharpe | 0.27 | 1.65 |
Sortino | 0.45 | 102.91 |
Smart Sortino | 0.35 | 79.55 |
Sortino/√2 | 0.32 | 72.77 |
Smart Sortino/√2 | 0.25 | 56.25 |
Omega | 1.14 | 1.14 |
Max Drawdown | -22.71% | -1.25% |
Longest DD Days | 358 | 209 |
Volatility (ann.) | 12.82% | 4.17% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.16 | 7.23 |
Skew | -5.52 | 28.72 |
Kurtosis | 256.52 | 829.77 |
Expected Daily | 0.01% | 0.03% |
Expected Monthly | 0.3% | 0.72% |
Expected Yearly | 3.08% | 7.62% |
Kelly Criterion | 18.44% | 87.06% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.31% | -0.4% |
Expected Shortfall (cVaR) | -1.31% | -0.4% |
Max Consecutive Wins | 10 | 574 |
Max Consecutive Losses | 9 | 65 |
Gain/Pain Ratio | 0.14 | 23.5 |
Gain/Pain (1M) | 0.61 | 23.5 |
Payoff Ratio | 1.16 | 1.49 |
Profit Factor | 1.14 | 24.5 |
Common Sense Ratio | 1.25 | 69.23 |
CPC Index | 0.74 | 33.7 |
Tail Ratio | 1.1 | 2.83 |
Outlier Win Ratio | 3.0 | 17.31 |
Outlier Loss Ratio | 1.67 | 29.34 |
MTD | -1.57% | 0.68% |
3M | -3.74% | 1.95% |
6M | -2.25% | 4.07% |
YTD | -0.53% | 7.29% |
1Y | 1.25% | 8.18% |
3Y (ann.) | 4.34% | 9.14% |
5Y (ann.) | 3.65% | 9.07% |
10Y (ann.) | 3.65% | 9.07% |
All-time (ann.) | 3.65% | 9.07% |
Best Day | 12.33% | 7.61% |
Worst Day | -16.17% | -0.02% |
Best Month | 6.64% | 7.61% |
Worst Month | -10.09% | -0.52% |
Best Year | 7.6% | 11.92% |
Worst Year | -0.62% | 4.01% |
Avg. Drawdown | -0.98% | -1.25% |
Avg. Drawdown Days | 19 | 209 |
Recovery Factor | 0.57 | 27.23 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 0.53 | 36.61 |
Avg. Up Month | 1.28% | 0.61% |
Avg. Down Month | - | - |
Win Days | 56.18% | 92.25% |
Win Month | 65.85% | 92.68% |
Win Quarter | 71.43% | 92.86% |
Win Year | 50.0% | 100.0% |
Beta | -0.14 | - |
Alpha | 0.06 | - |
Correlation | -4.41% | - |
Treynor Ratio | -95.16% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.01 | -0.62 | -0.15 | - |
2022 | 11.92 | 6.14 | 0.52 | - |
2023 | 7.42 | 7.60 | 1.02 | + |
2024 | 7.29 | -0.53 | -0.07 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-14 | 2022-09-07 | -22.71 | 358 |
2022-09-19 | 2022-11-07 | -6.71 | 49 |
2024-08-22 | 2024-11-29 | -4.89 | 99 |
2023-08-04 | 2023-12-25 | -2.84 | 143 |
2024-05-15 | 2024-08-05 | -2.22 | 82 |
2023-06-20 | 2023-07-31 | -1.25 | 41 |
2023-02-13 | 2023-02-24 | -1.11 | 11 |
2022-11-08 | 2022-11-16 | -1.02 | 8 |
2024-04-01 | 2024-04-22 | -0.86 | 21 |
2022-11-17 | 2022-11-23 | -0.73 | 6 |