Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 20.28% | 28.42% |
CAGR﹪ | 6.19% | 8.48% |
Sharpe | 0.37 | 2.75 |
Prob. Sharpe Ratio | 73.35% | 100.0% |
Smart Sharpe | 0.36 | 2.64 |
Sortino | 0.47 | 90.82 |
Smart Sortino | 0.45 | 87.42 |
Sortino/√2 | 0.33 | 64.22 |
Smart Sortino/√2 | 0.32 | 61.82 |
Omega | 1.08 | 1.08 |
Max Drawdown | -54.41% | -1.25% |
Longest DD Days | 701 | 209 |
Volatility (ann.) | 25.97% | 3.04% |
R^2 | 0.03 | 0.03 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.11 | 6.76 |
Skew | -2.28 | 19.09 |
Kurtosis | 19.03 | 367.87 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.49% | 0.66% |
Expected Yearly | 4.72% | 6.45% |
Kelly Criterion | 9.48% | 84.54% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.65% | -0.28% |
Expected Shortfall (cVaR) | -2.65% | -0.28% |
Max Consecutive Wins | 10 | 398 |
Max Consecutive Losses | 5 | 65 |
Gain/Pain Ratio | 0.08 | 18.46 |
Gain/Pain (1M) | 0.29 | 18.46 |
Payoff Ratio | 0.93 | 3.31 |
Profit Factor | 1.08 | 19.46 |
Common Sense Ratio | 0.96 | 67.6 |
CPC Index | 0.57 | 56.77 |
Tail Ratio | 0.89 | 3.47 |
Outlier Win Ratio | 2.16 | 49.24 |
Outlier Loss Ratio | 2.09 | 157.96 |
MTD | -5.17% | 0.19% |
3M | 8.81% | 1.23% |
6M | 32.1% | 2.32% |
YTD | 46.28% | 3.9% |
1Y | 57.06% | 5.3% |
3Y (ann.) | 8.86% | 8.88% |
5Y (ann.) | 6.19% | 8.48% |
10Y (ann.) | 6.19% | 8.48% |
All-time (ann.) | 6.19% | 8.48% |
Best Day | 7.62% | 3.74% |
Worst Day | -14.27% | -0.02% |
Best Month | 15.31% | 7.61% |
Worst Month | -31.78% | -0.52% |
Best Year | 46.28% | 11.92% |
Worst Year | -37.9% | 1.88% |
Avg. Drawdown | -4.05% | -0.68% |
Avg. Drawdown Days | 41 | 126 |
Recovery Factor | 0.37 | 22.65 |
Ulcer Index | 0.29 | 0.0 |
Serenity Index | 0.02 | 19.98 |
Avg. Up Month | 5.53% | 0.88% |
Avg. Down Month | -2.2% | -0.21% |
Win Days | 56.33% | 88.13% |
Win Month | 60.53% | 86.84% |
Win Quarter | 61.54% | 84.62% |
Win Year | 75.0% | 100.0% |
Beta | 1.41 | - |
Alpha | -0.02 | - |
Correlation | 16.53% | - |
Treynor Ratio | 14.37% | - |
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 | 3.90 | 46.28 | 11.87 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2023-09-22 | -54.41 | 701 |
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 |