Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 21.69% | 7.85% |
CAGR﹪ | 11.06% | 4.12% |
Sharpe | 0.56 | 13.25 |
Prob. Sharpe Ratio | 73.6% | 100.0% |
Smart Sharpe | 0.54 | 12.8 |
Sortino | 0.7 | 39.22 |
Smart Sortino | 0.68 | 37.89 |
Sortino/√2 | 0.5 | 27.73 |
Smart Sortino/√2 | 0.48 | 26.79 |
Omega | 1.12 | 1.12 |
Max Drawdown | -47.24% | -1.25% |
Longest DD Days | 394 | 209 |
Volatility (ann.) | 36.45% | 0.38% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.23 | 3.28 |
Skew | -4.16 | -0.16 |
Kurtosis | 49.11 | -0.69 |
Expected Daily | 0.05% | 0.02% |
Expected Monthly | 0.99% | 0.38% |
Expected Yearly | 6.76% | 2.55% |
Kelly Criterion | -11.25% | 70.55% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.7% | -0.02% |
Expected Shortfall (cVaR) | -3.7% | -0.02% |
Max Consecutive Wins | 8 | 231 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.12 | 5.98 |
Gain/Pain (1M) | 0.36 | 5.98 |
Payoff Ratio | 0.72 | 1.44 |
Profit Factor | 1.12 | 6.98 |
Common Sense Ratio | 1.27 | 18.48 |
CPC Index | 0.43 | 8.31 |
Tail Ratio | 1.14 | 2.65 |
Outlier Win Ratio | 1.8 | 88.66 |
Outlier Loss Ratio | 1.73 | 131.97 |
MTD | -4.15% | 0.19% |
3M | 17.47% | 1.23% |
6M | 25.68% | 2.18% |
YTD | 40.92% | 3.52% |
1Y | 78.44% | 4.92% |
3Y (ann.) | 11.06% | 4.12% |
5Y (ann.) | 11.06% | 4.12% |
10Y (ann.) | 11.06% | 4.12% |
All-time (ann.) | 11.06% | 4.12% |
Best Day | 8.05% | 0.06% |
Worst Day | -26.66% | -0.02% |
Best Month | 31.77% | 1.17% |
Worst Month | -28.84% | -0.52% |
Best Year | 40.92% | 3.52% |
Worst Year | -16.44% | 1.73% |
Avg. Drawdown | -5.85% | -1.25% |
Avg. Drawdown Days | 40 | 209 |
Recovery Factor | 0.46 | 6.25 |
Ulcer Index | 0.22 | 0.01 |
Serenity Index | 0.06 | 0.35 |
Avg. Up Month | 8.72% | 0.59% |
Avg. Down Month | -15.2% | -0.44% |
Win Days | 53.26% | 82.62% |
Win Month | 55.0% | 85.0% |
Win Quarter | 87.5% | 75.0% |
Win Year | 66.67% | 100.0% |
Beta | -2.19 | - |
Alpha | 0.31 | - |
Correlation | -2.31% | - |
Treynor Ratio | -9.88% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.73 | 3.33 | 1.93 | + |
2022 | 2.41 | -16.44 | -6.82 | - |
2023 | 3.52 | 40.92 | 11.64 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-05-30 | 2023-06-28 | -47.24 | 394 |
2023-08-14 | 2023-09-22 | -9.65 | 39 |
2022-01-14 | 2022-02-25 | -7.83 | 42 |
2021-11-23 | 2022-01-04 | -6.56 | 42 |
2021-11-17 | 2021-11-22 | -2.13 | 5 |
2023-07-20 | 2023-07-28 | -1.88 | 8 |
2022-01-06 | 2022-01-13 | -1.59 | 7 |
2021-11-09 | 2021-11-12 | -1.50 | 3 |
2023-07-06 | 2023-07-12 | -0.98 | 6 |
2023-07-03 | 2023-07-05 | -0.74 | 2 |