Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | 74.4% | 37.51% |
CAGR﹪ | 10.49% | 5.88% |
Sharpe | -18.59 | -6.92 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -18.29 | -6.8 |
Sortino | -12.33 | -7.02 |
Smart Sortino | -12.13 | -6.9 |
Sortino/√2 | -8.72 | -4.96 |
Smart Sortino/√2 | -8.57 | -4.88 |
Omega | 0.04 | 0.04 |
Max Drawdown | -20.43% | -53.53% |
Longest DD Days | 521 | 1215 |
Volatility (ann.) | 10.66% | 28.72% |
R^2 | 0.56 | 0.56 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.51 | 0.11 |
Skew | -2.77 | -3.86 |
Kurtosis | 50.73 | 95.96 |
Expected Daily | 0.04% | 0.02% |
Expected Monthly | 0.82% | 0.47% |
Expected Yearly | 8.27% | 4.66% |
Kelly Criterion | 8.58% | -0.83% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.06% | -2.94% |
Expected Shortfall (cVaR) | -1.06% | -2.94% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 6 | 14 |
Gain/Pain Ratio | 0.22 | 0.08 |
Gain/Pain (1M) | 1.23 | 0.37 |
Payoff Ratio | 0.93 | 0.79 |
Profit Factor | 1.22 | 1.08 |
Common Sense Ratio | 1.37 | 1.0 |
CPC Index | 0.63 | 0.47 |
Tail Ratio | 1.12 | 0.93 |
Outlier Win Ratio | 6.7 | 2.69 |
Outlier Loss Ratio | 6.31 | 2.68 |
MTD | -0.79% | -3.65% |
3M | 4.64% | 5.9% |
6M | 3.66% | 1.5% |
YTD | 2.45% | -2.18% |
1Y | 16.58% | -2.16% |
3Y (ann.) | 17.29% | 19.14% |
5Y (ann.) | 8.7% | 5.87% |
10Y (ann.) | 10.49% | 5.88% |
All-time (ann.) | 10.49% | 5.88% |
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 | -1.5% | -4.09% |
Avg. Drawdown Days | 26 | 50 |
Recovery Factor | 3.64 | 0.7 |
Ulcer Index | 0.06 | 0.23 |
Serenity Index | -7.1 | -1.25 |
Avg. Up Month | 2.76% | 5.39% |
Avg. Down Month | -2.5% | -7.37% |
Win Days | 56.07% | 55.52% |
Win Month | 67.16% | 61.76% |
Win Quarter | 70.83% | 62.5% |
Win Year | 85.71% | 71.43% |
Beta | 0.28 | - |
Alpha | 0.08 | - |
Correlation | 75.05% | - |
Treynor Ratio | -2246.68% | - |
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 | 1.64 | 15.95 | 9.74 | + |
2025 | -2.18 | 2.45 | -1.12 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-15 | 2023-03-20 | -20.43 | 521 |
2020-02-25 | 2020-04-23 | -9.63 | 58 |
2024-04-18 | 2024-10-16 | -7.98 | 181 |
2025-03-21 | 2025-07-10 | -6.15 | 111 |
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 | -2.85 | 18 |
2024-12-03 | 2024-12-20 | -2.57 | 17 |