Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 84.0% | 100.0% |
Cumulative Return | 39.04% | 42.51% |
CAGR﹪ | 8.59% | 9.26% |
Sharpe | 0.74 | 2.35 |
Prob. Sharpe Ratio | 89.5% | 99.98% |
Smart Sharpe | 0.59 | 1.86 |
Sortino | 0.98 | 113.5 |
Smart Sortino | 0.77 | 89.54 |
Sortino/√2 | 0.69 | 80.26 |
Smart Sortino/√2 | 0.55 | 63.32 |
Omega | 1.29 | 1.29 |
Max Drawdown | -22.71% | -1.25% |
Longest DD Days | 358 | 209 |
Volatility (ann.) | 12.2% | 3.82% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.38 | 7.38 |
Skew | -5.37 | 31.26 |
Kurtosis | 262.96 | 984.69 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.67% | 0.73% |
Expected Yearly | 6.81% | 7.34% |
Kelly Criterion | 24.27% | 89.35% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.23% | -0.36% |
Expected Shortfall (cVaR) | -1.23% | -0.36% |
Max Consecutive Wins | 12 | 734 |
Max Consecutive Losses | 9 | 65 |
Gain/Pain Ratio | 0.29 | 28.28 |
Gain/Pain (1M) | 1.47 | 28.28 |
Payoff Ratio | 1.3 | 1.57 |
Profit Factor | 1.29 | 29.28 |
Common Sense Ratio | 1.65 | 113.37 |
CPC Index | 0.96 | 42.96 |
Tail Ratio | 1.28 | 3.87 |
Outlier Win Ratio | 2.94 | 18.72 |
Outlier Loss Ratio | 1.56 | 28.14 |
MTD | 1.16% | 0.15% |
3M | 9.76% | 1.17% |
6M | 15.21% | 3.75% |
YTD | 16.17% | 4.06% |
1Y | 20.8% | 9.29% |
3Y (ann.) | 11.78% | 7.56% |
5Y (ann.) | 8.59% | 9.26% |
10Y (ann.) | 8.59% | 9.26% |
All-time (ann.) | 8.59% | 9.26% |
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 | 16.17% | 11.92% |
Worst Year | -0.62% | 4.01% |
Avg. Drawdown | -0.9% | -1.25% |
Avg. Drawdown Days | 15 | 209 |
Recovery Factor | 1.72 | 33.88 |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 1.74 | 50.04 |
Avg. Up Month | 1.62% | 0.62% |
Avg. Down Month | - | - |
Win Days | 57.21% | 93.49% |
Win Month | 71.43% | 93.88% |
Win Quarter | 82.35% | 94.12% |
Win Year | 80.0% | 100.0% |
Beta | -0.14 | - |
Alpha | 0.1 | - |
Correlation | -4.26% | - |
Treynor Ratio | -286.81% | - |
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 | 9.51 | 5.45 | 0.57 | - |
2025 | 4.06 | 16.17 | 3.98 | + |
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 | 2024-12-27 | -6.41 | 127 |
2023-08-04 | 2023-12-25 | -2.84 | 143 |
2024-05-15 | 2024-08-05 | -2.22 | 82 |
2025-03-26 | 2025-04-17 | -2.18 | 22 |
2023-06-20 | 2023-07-31 | -1.25 | 41 |
2023-02-13 | 2023-02-24 | -1.11 | 11 |
2025-05-05 | 2025-05-06 | -1.07 | 1 |
2022-11-08 | 2022-11-16 | -1.02 | 8 |