Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 59.97% | 25.57% |
CAGR﹪ | 19.38% | 8.96% |
Sharpe | 0.88 | 0.52 |
Prob. Sharpe Ratio | 87.57% | 76.22% |
Smart Sharpe | 0.82 | 0.48 |
Sortino | 1.13 | 0.65 |
Smart Sortino | 1.05 | 0.6 |
Sortino/√2 | 0.8 | 0.46 |
Smart Sortino/√2 | 0.74 | 0.42 |
Omega | 1.22 | 1.22 |
Max Drawdown | -36.95% | -39.65% |
Longest DD Days | 398 | 488 |
Volatility (ann.) | 26.98% | 25.32% |
R^2 | 0.55 | 0.55 |
Information Ratio | 0.04 | 0.04 |
Calmar | 0.52 | 0.23 |
Skew | -5.52 | -6.48 |
Kurtosis | 94.75 | 121.78 |
Expected Daily | 0.08% | 0.04% |
Expected Monthly | 1.53% | 0.74% |
Expected Yearly | 12.46% | 5.86% |
Kelly Criterion | 13.07% | 4.88% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.7% | -2.57% |
Expected Shortfall (cVaR) | -2.7% | -2.57% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 9 | 7 |
Gain/Pain Ratio | 0.22 | 0.14 |
Gain/Pain (1M) | 1.04 | 0.5 |
Payoff Ratio | 1.06 | 1.03 |
Profit Factor | 1.22 | 1.14 |
Common Sense Ratio | 1.36 | 1.25 |
CPC Index | 0.72 | 0.61 |
Tail Ratio | 1.12 | 1.1 |
Outlier Win Ratio | 4.05 | 4.54 |
Outlier Loss Ratio | 3.25 | 4.04 |
MTD | 2.1% | -0.59% |
3M | 18.7% | 3.76% |
6M | 17.27% | -1.57% |
YTD | 15.72% | 1.75% |
1Y | 31.97% | 13.04% |
3Y (ann.) | 19.38% | 8.96% |
5Y (ann.) | 19.38% | 8.96% |
10Y (ann.) | 19.38% | 8.96% |
All-time (ann.) | 19.38% | 8.96% |
Best Day | 9.11% | 10.7% |
Worst Day | -25.97% | -25.9% |
Best Month | 19.21% | 19.77% |
Worst Month | -25.97% | -25.9% |
Best Year | 42.51% | 29.27% |
Worst Year | -4.77% | -6.4% |
Avg. Drawdown | -4.09% | -4.73% |
Avg. Drawdown Days | 38 | 51 |
Recovery Factor | 1.62 | 0.64 |
Ulcer Index | 0.16 | 0.16 |
Serenity Index | 0.21 | 0.08 |
Avg. Up Month | 6.29% | 5.71% |
Avg. Down Month | -5.77% | -6.65% |
Win Days | 55.17% | 51.69% |
Win Month | 63.33% | 60.0% |
Win Quarter | 83.33% | 66.67% |
Win Year | 75.0% | 75.0% |
Beta | 0.79 | - |
Alpha | 0.13 | - |
Correlation | 74.3% | - |
Treynor Ratio | 75.77% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.00 | 1.86 | 0.93 | - |
2022 | -6.40 | -4.77 | 0.75 | + |
2023 | 29.27 | 42.51 | 1.45 | + |
2024 | 1.75 | 15.72 | 9.00 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2023-03-30 | -36.95 | 398 |
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 |
2024-04-15 | 2024-04-25 | -6.03 | 10 |
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 |
2022-01-06 | 2022-01-13 | -2.35 | 7 |
2024-03-18 | 2024-03-22 | -1.57 | 4 |