Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 23.31% | 7.5% |
CAGR﹪ | 11.67% | 3.88% |
Sharpe | 0.59 | 12.93 |
Prob. Sharpe Ratio | 73.64% | 100.0% |
Smart Sharpe | 0.56 | 12.31 |
Sortino | 0.72 | 38.0 |
Smart Sortino | 0.68 | 36.19 |
Sortino/√2 | 0.51 | 26.87 |
Smart Sortino/√2 | 0.48 | 25.59 |
Omega | 1.14 | 1.14 |
Max Drawdown | -50.23% | -1.25% |
Longest DD Days | 524 | 209 |
Volatility (ann.) | 39.16% | 0.39% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.23 | 3.09 |
Skew | -6.29 | -0.04 |
Kurtosis | 86.84 | -0.08 |
Expected Daily | 0.06% | 0.02% |
Expected Monthly | 1.05% | 0.36% |
Expected Yearly | 7.23% | 2.44% |
Kelly Criterion | -2.81% | 70.03% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.97% | -0.02% |
Expected Shortfall (cVaR) | -3.97% | -0.02% |
Max Consecutive Wins | 8 | 218 |
Max Consecutive Losses | 7 | 65 |
Gain/Pain Ratio | 0.14 | 5.73 |
Gain/Pain (1M) | 0.4 | 5.73 |
Payoff Ratio | 0.79 | 1.46 |
Profit Factor | 1.14 | 6.73 |
Common Sense Ratio | 1.5 | 18.05 |
CPC Index | 0.49 | 8.1 |
Tail Ratio | 1.31 | 2.68 |
Outlier Win Ratio | 1.86 | 85.24 |
Outlier Loss Ratio | 1.76 | 130.38 |
MTD | -4.99% | 0.19% |
3M | 12.6% | 1.23% |
6M | 35.19% | 1.8% |
YTD | 50.41% | 3.12% |
1Y | 88.63% | 4.52% |
3Y (ann.) | 11.67% | 3.88% |
5Y (ann.) | 11.67% | 3.88% |
10Y (ann.) | 11.67% | 3.88% |
All-time (ann.) | 11.67% | 3.88% |
Best Day | 9.98% | 0.12% |
Worst Day | -32.81% | -0.02% |
Best Month | 28.06% | 1.17% |
Worst Month | -32.81% | -0.52% |
Best Year | 50.41% | 3.12% |
Worst Year | -24.1% | 1.79% |
Avg. Drawdown | -5.4% | -1.25% |
Avg. Drawdown Days | 46 | 209 |
Recovery Factor | 0.46 | 5.98 |
Ulcer Index | 0.27 | 0.01 |
Serenity Index | 0.04 | 0.32 |
Avg. Up Month | 7.73% | 0.6% |
Avg. Down Month | -12.75% | -0.43% |
Win Days | 54.78% | 82.19% |
Win Month | 68.42% | 84.21% |
Win Quarter | 75.0% | 75.0% |
Win Year | 66.67% | 100.0% |
Beta | -12.35 | - |
Alpha | 0.85 | - |
Correlation | -12.15% | - |
Treynor Ratio | -1.89% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.79 | 8.01 | 4.48 | + |
2022 | 2.41 | -24.10 | -10.00 | - |
2023 | 3.12 | 50.41 | 16.14 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2023-06-14 | -50.23 | 524 |
2023-08-14 | 2023-09-22 | -8.98 | 39 |
2021-11-23 | 2022-01-04 | -6.38 | 42 |
2021-11-17 | 2021-11-22 | -1.71 | 5 |
2023-06-20 | 2023-06-26 | -1.65 | 6 |
2023-07-20 | 2023-07-28 | -1.46 | 8 |
2023-07-03 | 2023-07-07 | -1.07 | 4 |
2021-11-08 | 2021-11-12 | -0.81 | 4 |
2023-07-17 | 2023-07-19 | -0.79 | 2 |
2023-08-07 | 2023-08-09 | -0.76 | 2 |