Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 91.15% | 30.0% |
CAGR﹪ | 18.29% | 7.04% |
Sharpe | 0.87 | 22.42 |
Prob. Sharpe Ratio | 92.26% | 100.0% |
Smart Sharpe | 0.82 | 21.21 |
Sortino | 1.14 | 87.82 |
Smart Sortino | 1.08 | 83.06 |
Sortino/√2 | 0.81 | 62.1 |
Smart Sortino/√2 | 0.76 | 58.74 |
Omega | 1.2 | 1.2 |
Max Drawdown | -36.95% | -1.25% |
Longest DD Days | 398 | 209 |
Volatility (ann.) | 24.45% | 0.33% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.04 | 0.04 |
Calmar | 0.49 | 5.61 |
Skew | -4.92 | -0.44 |
Kurtosis | 92.7 | 0.68 |
Expected Daily | 0.07% | 0.03% |
Expected Monthly | 1.42% | 0.57% |
Expected Yearly | 13.83% | 5.39% |
Kelly Criterion | -18.05% | 88.48% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.45% | -0.0% |
Expected Shortfall (cVaR) | -2.45% | -0.0% |
Max Consecutive Wins | 9 | 707 |
Max Consecutive Losses | 9 | 65 |
Gain/Pain Ratio | 0.2 | 20.78 |
Gain/Pain (1M) | 1.01 | 20.78 |
Payoff Ratio | 0.61 | 1.67 |
Profit Factor | 1.2 | 21.78 |
Common Sense Ratio | 1.31 | 79.77 |
CPC Index | 0.41 | 33.85 |
Tail Ratio | 1.09 | 3.66 |
Outlier Win Ratio | 2.22 | 60.29 |
Outlier Loss Ratio | 1.75 | 86.86 |
MTD | 1.65% | 0.06% |
3M | -1.97% | 1.29% |
6M | -3.6% | 4.08% |
YTD | -3.6% | 4.08% |
1Y | 24.4% | 9.63% |
3Y (ann.) | 32.91% | 7.51% |
5Y (ann.) | 18.29% | 7.04% |
10Y (ann.) | 18.29% | 7.04% |
All-time (ann.) | 18.29% | 7.04% |
Best Day | 9.11% | 0.12% |
Worst Day | -25.97% | -0.02% |
Best Month | 19.21% | 1.43% |
Worst Month | -25.97% | -0.52% |
Best Year | 43.2% | 9.51% |
Worst Year | -4.77% | 2.41% |
Avg. Drawdown | -3.97% | -1.25% |
Avg. Drawdown Days | 39 | 209 |
Recovery Factor | 2.47 | 23.9 |
Ulcer Index | 0.13 | 0.0 |
Serenity Index | 0.41 | 2.71 |
Avg. Up Month | 4.95% | 0.62% |
Avg. Down Month | -8.15% | -0.43% |
Win Days | 55.19% | 92.79% |
Win Month | 63.04% | 93.48% |
Win Quarter | 70.59% | 88.24% |
Win Year | 60.0% | 100.0% |
Beta | -5.42 | - |
Alpha | 0.61 | - |
Correlation | -7.25% | - |
Treynor Ratio | -16.8% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.68 | 2.03 | 0.55 | - |
2022 | 2.41 | -4.77 | -1.98 | - |
2023 | 7.42 | 42.51 | 5.73 | + |
2024 | 9.51 | 43.20 | 4.54 | + |
2025 | 4.08 | -3.60 | -0.88 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2023-03-30 | -36.95 | 398 |
2024-04-15 | 2024-08-29 | -13.04 | 136 |
2024-11-29 | 2025-07-03 | -10.74 | 216 |
2023-09-08 | 2024-03-05 | -9.35 | 179 |
2021-09-07 | 2021-11-12 | -6.90 | 66 |
2023-08-14 | 2023-09-05 | -6.80 | 22 |
2024-10-31 | 2024-11-22 | -6.80 | 22 |
2023-04-14 | 2023-06-30 | -5.78 | 77 |
2022-01-27 | 2022-02-17 | -5.68 | 21 |
2021-11-17 | 2022-01-05 | -5.04 | 49 |