Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 38.02% | 38.13% |
CAGR﹪ | 9.48% | 9.51% |
Sharpe | -8.02 | -6.31 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.78 | -6.13 |
Sortino | -7.66 | -6.51 |
Smart Sortino | -7.43 | -6.31 |
Sortino/√2 | -5.42 | -4.6 |
Smart Sortino/√2 | -5.26 | -4.46 |
Omega | 0.19 | 0.19 |
Max Drawdown | -54.41% | -53.82% |
Longest DD Days | 889 | 889 |
Volatility (ann.) | 24.51% | 30.79% |
R^2 | 0.53 | 0.53 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.17 | 0.18 |
Skew | -2.36 | -5.06 |
Kurtosis | 20.99 | 126.24 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.75% | 0.75% |
Expected Yearly | 6.66% | 6.67% |
Kelly Criterion | 5.68% | 0.3% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.49% | -3.13% |
Expected Shortfall (cVaR) | -2.49% | -3.13% |
Max Consecutive Wins | 10 | 9 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.11 | 0.12 |
Gain/Pain (1M) | 0.46 | 0.58 |
Payoff Ratio | 0.82 | 0.79 |
Profit Factor | 1.11 | 1.12 |
Common Sense Ratio | 1.06 | 1.16 |
CPC Index | 0.52 | 0.5 |
Tail Ratio | 0.96 | 1.03 |
Outlier Win Ratio | 4.11 | 3.73 |
Outlier Loss Ratio | 4.08 | 4.24 |
MTD | 2.12% | 1.97% |
3M | 7.85% | 8.18% |
6M | 10.69% | 10.68% |
YTD | 7.51% | 7.72% |
1Y | 43.25% | 43.91% |
3Y (ann.) | 3.62% | 3.67% |
5Y (ann.) | 9.48% | 9.51% |
10Y (ann.) | 9.48% | 9.51% |
All-time (ann.) | 9.48% | 9.51% |
Best Day | 7.62% | 21.55% |
Worst Day | -14.27% | -33.99% |
Best Month | 15.31% | 15.43% |
Worst Month | -31.78% | -29.97% |
Best Year | 51.35% | 51.57% |
Worst Year | -37.9% | -38.35% |
Avg. Drawdown | -3.91% | -3.18% |
Avg. Drawdown Days | 46 | 37 |
Recovery Factor | 0.7 | 0.71 |
Ulcer Index | 0.27 | 0.27 |
Serenity Index | -0.75 | -0.95 |
Avg. Up Month | 5.34% | 5.34% |
Avg. Down Month | -6.14% | -6.16% |
Win Days | 57.38% | 56.02% |
Win Month | 62.79% | 62.79% |
Win Quarter | 66.67% | 66.67% |
Win Year | 80.0% | 80.0% |
Beta | 0.58 | - |
Alpha | 0.04 | - |
Correlation | 72.75% | - |
Treynor Ratio | -1143.02% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 13.78 | 14.03 | 1.02 | + |
2021 | 20.63 | 19.78 | 0.96 | - |
2022 | -38.35 | -37.90 | 0.99 | + |
2023 | 51.57 | 51.35 | 1.00 | - |
2024 | 7.72 | 7.51 | 0.97 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-03-28 | -54.41 | 889 |
2020-09-16 | 2020-11-09 | -8.35 | 54 |
2021-01-12 | 2021-03-12 | -6.17 | 59 |
2021-07-08 | 2021-08-10 | -4.35 | 33 |
2021-03-16 | 2021-04-22 | -4.01 | 37 |
2020-12-18 | 2020-12-30 | -3.10 | 12 |
2021-09-16 | 2021-09-27 | -2.59 | 11 |
2021-08-18 | 2021-09-01 | -2.39 | 14 |
2021-06-15 | 2021-07-01 | -1.97 | 16 |
2020-09-08 | 2020-09-14 | -1.64 | 6 |