Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 99.0% |
Cumulative Return | 13.53% | 2.59% |
CAGR% | 53.53% | 9.03% |
Sharpe | 2.38 | 23.06 |
Sortino | 4.15 | 46.57 |
Max Drawdown | -5.92% | -0.1% |
Longest DD Days | 37 | 1 |
Volatility (ann.) | 18.34% | 0.37% |
R^2 | 0.02 | 0.02 |
Calmar | 9.05 | 90.27 |
Skew | 0.54 | 0.45 |
Kurtosis | 1.42 | 32.98 |
Expected Daily % | 0.17% | 0.03% |
Expected Monthly % | 3.22% | 0.64% |
Expected Yearly % | 6.55% | 1.29% |
Kelly Criterion | 46.67% | 95.11% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.73% | -0.0% |
Expected Shortfall (cVaR) | -2.25% | -2.25% |
Payoff Ratio | 10.39 | 0.37 |
Profit Factor | 0.5 | 25.58 |
Common Sense Ratio | 0.66 | 35.06 |
CPC Index | 2.68 | 9.46 |
Tail Ratio | 1.32 | 1.37 |
Outlier Win Ratio | 1.72 | 48.01 |
Outlier Loss Ratio | 1.66 | 12.12 |
MTD | 6.65% | 0.71% |
3M | 8.72% | 2.17% |
6M | 13.53% | 2.59% |
YTD | 7.5% | 1.36% |
1Y | 13.53% | 2.59% |
3Y (ann.) | 53.53% | 9.03% |
5Y (ann.) | 53.53% | 9.03% |
10Y (ann.) | 53.53% | 9.03% |
All-time (ann.) | 53.53% | 9.03% |
Best Day | 4.03% | 0.18% |
Worst Day | -2.59% | -0.1% |
Best Month | 6.65% | 0.71% |
Worst Month | 0.8% | 0.56% |
Best Year | 7.5% | 1.36% |
Worst Year | 5.6% | 1.21% |
Avg. Drawdown | -2.05% | -0.1% |
Avg. Drawdown Days | 11 | 1 |
Recovery Factor | 2.29 | 25.9 |
Ulcer Index | inf | inf |
Avg. Up Month | 3.25% | 0.64% |
Avg. Down Month | nan% | nan% |
Win Days % | 51.35% | 98.67% |
Win Month % | 100.0% | 100.0% |
Win Quarter % | 100.0% | 100.0% |
Win Year % | 100.0% | 100.0% |
Beta | 6.19 | - |
Alpha | -0.09 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.21 | 5.60 | 4.63 | + |
2022 | 1.36 | 7.50 | 5.50 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-27 | 2022-02-21 | -5.92 | 25 |
2021-11-29 | 2022-01-05 | -3.22 | 37 |
2022-01-06 | 2022-01-24 | -2.96 | 18 |
2021-11-23 | 2021-11-26 | -1.38 | 3 |
2021-11-17 | 2021-11-19 | -1.35 | 2 |
2022-02-22 | 2022-02-25 | -1.15 | 3 |
2022-01-25 | 2022-01-26 | -0.29 | 1 |
2021-11-10 | 2021-11-11 | -0.10 | 1 |