Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | 58.73% | 55.41% |
CAGR﹪ | 11.2% | 10.67% |
Sharpe | -18.14 | -6.51 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -18.08 | -6.49 |
Sortino | -12.2 | -6.65 |
Smart Sortino | -12.17 | -6.63 |
Sortino/√2 | -8.63 | -4.7 |
Smart Sortino/√2 | -8.6 | -4.69 |
Omega | 0.04 | 0.04 |
Max Drawdown | -20.43% | -53.53% |
Longest DD Days | 521 | 910 |
Volatility (ann.) | 10.88% | 29.75% |
R^2 | 0.57 | 0.57 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.55 | 0.2 |
Skew | -3.5 | -4.62 |
Kurtosis | 59.77 | 107.26 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.88% | 0.84% |
Expected Yearly | 8.0% | 7.63% |
Kelly Criterion | 8.66% | 0.24% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.08% | -3.02% |
Expected Shortfall (cVaR) | -1.08% | -3.02% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.25 | 0.13 |
Gain/Pain (1M) | 1.27 | 0.6 |
Payoff Ratio | 0.89 | 0.76 |
Profit Factor | 1.25 | 1.13 |
Common Sense Ratio | 1.41 | 1.1 |
CPC Index | 0.63 | 0.49 |
Tail Ratio | 1.13 | 0.97 |
Outlier Win Ratio | 6.56 | 2.66 |
Outlier Loss Ratio | 7.0 | 3.0 |
MTD | 2.7% | 3.7% |
3M | 7.82% | 8.65% |
6M | 8.25% | 8.98% |
YTD | 8.11% | 12.36% |
1Y | 20.12% | 42.87% |
3Y (ann.) | 10.16% | 5.71% |
5Y (ann.) | 11.2% | 10.67% |
10Y (ann.) | 11.2% | 10.67% |
All-time (ann.) | 11.2% | 10.67% |
Best Day | 4.59% | 20.04% |
Worst Day | -10.6% | -33.28% |
Best Month | 9.22% | 15.56% |
Worst Month | -9.74% | -30.02% |
Best Year | 27.37% | 53.84% |
Worst Year | -5.83% | -37.26% |
Avg. Drawdown | -1.34% | -3.71% |
Avg. Drawdown Days | 25 | 41 |
Recovery Factor | 2.87 | 1.04 |
Ulcer Index | 0.06 | 0.25 |
Serenity Index | -6.23 | -1.07 |
Avg. Up Month | 2.61% | 5.16% |
Avg. Down Month | -3.12% | -8.96% |
Win Days | 56.97% | 56.93% |
Win Month | 71.15% | 67.92% |
Win Quarter | 73.68% | 73.68% |
Win Year | 83.33% | 83.33% |
Beta | 0.28 | - |
Alpha | 0.07 | - |
Correlation | 75.31% | - |
Treynor Ratio | -2327.79% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 2.47 | 1.19 | 0.48 | - |
2020 | 14.82 | 16.90 | 1.14 | + |
2021 | 21.79 | 3.49 | 0.16 | - |
2022 | -37.26 | -5.83 | 0.16 | + |
2023 | 53.84 | 27.37 | 0.51 | - |
2024 | 12.36 | 8.11 | 0.66 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-15 | 2023-03-20 | -20.43 | 521 |
2020-02-25 | 2020-04-23 | -9.63 | 58 |
2023-09-06 | 2024-01-31 | -4.40 | 147 |
2021-01-12 | 2021-05-18 | -4.37 | 126 |
2020-08-07 | 2020-11-16 | -3.48 | 101 |
2023-08-14 | 2023-08-29 | -3.10 | 15 |
2023-04-27 | 2023-05-15 | -2.25 | 18 |
2020-05-26 | 2020-06-30 | -2.18 | 35 |
2021-06-03 | 2021-07-05 | -1.97 | 32 |
2021-09-15 | 2021-10-05 | -1.73 | 20 |