Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 30.82% | 50.22% |
CAGR﹪ | 5.93% | 9.11% |
Sharpe | 0.36 | 3.59 |
Prob. Sharpe Ratio | 77.73% | 100.0% |
Smart Sharpe | 0.35 | 3.49 |
Sortino | 0.48 | 119.02 |
Smart Sortino | 0.46 | 115.74 |
Sortino/√2 | 0.34 | 84.16 |
Smart Sortino/√2 | 0.33 | 81.84 |
Omega | 1.07 | 1.07 |
Max Drawdown | -54.41% | -1.25% |
Longest DD Days | 1282 | 209 |
Volatility (ann.) | 24.51% | 2.46% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.11 | 7.26 |
Skew | -1.61 | 23.49 |
Kurtosis | 16.6 | 560.4 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.47% | 0.72% |
Expected Yearly | 4.58% | 7.02% |
Kelly Criterion | 7.96% | 89.79% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.5% | -0.22% |
Expected Shortfall (cVaR) | -2.5% | -0.22% |
Max Consecutive Wins | 10 | 676 |
Max Consecutive Losses | 8 | 65 |
Gain/Pain Ratio | 0.07 | 29.97 |
Gain/Pain (1M) | 0.3 | 29.97 |
Payoff Ratio | 0.94 | 3.12 |
Profit Factor | 1.07 | 30.97 |
Common Sense Ratio | 1.0 | 119.91 |
CPC Index | 0.56 | 89.01 |
Tail Ratio | 0.93 | 3.87 |
Outlier Win Ratio | 2.17 | 49.68 |
Outlier Loss Ratio | 1.7 | 124.84 |
MTD | -0.3% | 0.59% |
3M | 2.17% | 2.37% |
6M | 12.86% | 6.35% |
YTD | 4.94% | 3.32% |
1Y | -5.73% | 10.56% |
3Y (ann.) | 17.98% | 6.96% |
5Y (ann.) | 5.93% | 9.11% |
10Y (ann.) | 5.93% | 9.11% |
All-time (ann.) | 5.93% | 9.11% |
Best Day | 8.3% | 3.74% |
Worst Day | -14.27% | -0.02% |
Best Month | 15.31% | 7.61% |
Worst Month | -31.78% | -0.52% |
Best Year | 51.35% | 11.92% |
Worst Year | -37.9% | 1.88% |
Avg. Drawdown | -4.05% | -0.68% |
Avg. Drawdown Days | 64 | 126 |
Recovery Factor | 0.57 | 40.02 |
Ulcer Index | 0.25 | 0.0 |
Serenity Index | 0.04 | 44.46 |
Avg. Up Month | 5.3% | 0.87% |
Avg. Down Month | -2.2% | -0.21% |
Win Days | 55.31% | 92.27% |
Win Month | 57.89% | 91.23% |
Win Quarter | 60.0% | 90.0% |
Win Year | 83.33% | 100.0% |
Beta | 1.42 | - |
Alpha | -0.04 | - |
Correlation | 14.27% | - |
Treynor Ratio | 21.65% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.88 | 10.54 | 5.60 | + |
2021 | 8.39 | 19.78 | 2.36 | + |
2022 | 11.92 | -37.90 | -3.18 | - |
2023 | 7.42 | 51.35 | 6.92 | + |
2024 | 9.51 | 0.16 | 0.02 | - |
2025 | 3.32 | 4.94 | 1.49 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2025-04-25 | -54.41 | 1282 |
2020-08-27 | 2020-11-09 | -9.62 | 74 |
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 |
2021-04-28 | 2021-05-05 | -1.62 | 7 |