Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 43.35% | 50.62% |
CAGR﹪ | 10.45% | 11.97% |
Sharpe | -8.04 | -6.41 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.8 | -6.22 |
Sortino | -7.68 | -6.55 |
Smart Sortino | -7.45 | -6.36 |
Sortino/√2 | -5.43 | -4.63 |
Smart Sortino/√2 | -5.27 | -4.5 |
Omega | 0.19 | 0.19 |
Max Drawdown | -54.41% | -53.53% |
Longest DD Days | 908 | 908 |
Volatility (ann.) | 24.32% | 30.0% |
R^2 | 0.55 | 0.55 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.19 | 0.22 |
Skew | -2.38 | -5.31 |
Kurtosis | 21.32 | 123.61 |
Expected Daily | 0.04% | 0.05% |
Expected Monthly | 0.82% | 0.94% |
Expected Yearly | 7.47% | 8.54% |
Kelly Criterion | 5.65% | 1.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.47% | -3.04% |
Expected Shortfall (cVaR) | -2.47% | -3.04% |
Max Consecutive Wins | 10 | 9 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.12 | 0.14 |
Gain/Pain (1M) | 0.49 | 0.66 |
Payoff Ratio | 0.81 | 0.78 |
Profit Factor | 1.12 | 1.14 |
Common Sense Ratio | 1.07 | 1.2 |
CPC Index | 0.52 | 0.51 |
Tail Ratio | 0.96 | 1.05 |
Outlier Win Ratio | 4.16 | 3.82 |
Outlier Loss Ratio | 4.05 | 4.21 |
MTD | 3.83% | 3.91% |
3M | 9.13% | 8.89% |
6M | 11.2% | 11.08% |
YTD | 12.62% | 12.59% |
1Y | 44.05% | 45.47% |
3Y (ann.) | 4.46% | 5.81% |
5Y (ann.) | 10.45% | 11.97% |
10Y (ann.) | 10.45% | 11.97% |
All-time (ann.) | 10.45% | 11.97% |
Best Day | 7.62% | 20.04% |
Worst Day | -14.27% | -33.28% |
Best Month | 15.31% | 15.56% |
Worst Month | -31.78% | -30.02% |
Best Year | 51.35% | 53.84% |
Worst Year | -37.9% | -37.26% |
Avg. Drawdown | -3.94% | -3.21% |
Avg. Drawdown Days | 47 | 36 |
Recovery Factor | 0.8 | 0.95 |
Ulcer Index | 0.27 | 0.26 |
Serenity Index | -0.75 | -0.96 |
Avg. Up Month | 5.32% | 5.48% |
Avg. Down Month | -6.49% | -6.72% |
Win Days | 57.72% | 56.92% |
Win Month | 63.64% | 65.91% |
Win Quarter | 68.75% | 68.75% |
Win Year | 80.0% | 80.0% |
Beta | 0.6 | - |
Alpha | 0.03 | - |
Correlation | 73.84% | - |
Treynor Ratio | -1096.74% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 13.80 | 13.05 | 0.95 | - |
2021 | 21.79 | 19.78 | 0.91 | - |
2022 | -37.26 | -37.90 | 1.02 | - |
2023 | 53.84 | 51.35 | 0.95 | - |
2024 | 12.59 | 12.62 | 1.00 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-04-16 | -54.41 | 908 |
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 |
2020-09-03 | 2020-09-15 | -2.48 | 12 |
2021-08-18 | 2021-09-01 | -2.39 | 14 |
2021-06-15 | 2021-07-01 | -1.97 | 16 |