Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 26.76% | 28.64% |
CAGR﹪ | 7.19% | 7.66% |
Sharpe | 0.89 | 1.84 |
Prob. Sharpe Ratio | 88.25% | 100.0% |
Smart Sharpe | 0.74 | 1.53 |
Sortino | 1.07 | 98.62 |
Smart Sortino | 0.89 | 81.96 |
Sortino/√2 | 0.76 | 69.73 |
Smart Sortino/√2 | 0.63 | 57.96 |
Omega | 1.4 | 1.4 |
Max Drawdown | -15.87% | -0.74% |
Longest DD Days | 270 | 120 |
Volatility (ann.) | 8.53% | 4.19% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.45 | 10.37 |
Skew | -10.81 | 28.59 |
Kurtosis | 300.95 | 822.65 |
Expected Daily | 0.03% | 0.03% |
Expected Monthly | 0.57% | 0.6% |
Expected Yearly | 6.11% | 6.5% |
Kelly Criterion | 43.86% | 82.11% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.85% | -0.4% |
Expected Shortfall (cVaR) | -0.85% | -0.4% |
Max Consecutive Wins | 13 | 393 |
Max Consecutive Losses | 7 | 43 |
Gain/Pain Ratio | 0.4 | 20.34 |
Gain/Pain (1M) | 1.63 | 20.34 |
Payoff Ratio | 2.52 | 4.55 |
Profit Factor | 1.4 | 21.34 |
Common Sense Ratio | 2.15 | 126.34 |
CPC Index | 2.11 | 82.81 |
Tail Ratio | 1.54 | 5.92 |
Outlier Win Ratio | 2.46 | 11.17 |
Outlier Loss Ratio | 2.56 | 49.08 |
MTD | 1.13% | -0.39% |
3M | 9.89% | -0.11% |
6M | 5.78% | 10.26% |
YTD | 4.41% | 10.97% |
1Y | 5.36% | 15.22% |
3Y (ann.) | 6.31% | 8.49% |
5Y (ann.) | 7.19% | 7.66% |
10Y (ann.) | 7.19% | 7.66% |
All-time (ann.) | 7.19% | 7.66% |
Best Day | 6.22% | 7.61% |
Worst Day | -11.76% | -0.03% |
Best Month | 5.61% | 7.61% |
Worst Month | -8.55% | -0.39% |
Best Year | 11.98% | 10.97% |
Worst Year | 0.16% | 1.94% |
Avg. Drawdown | -0.4% | -0.42% |
Avg. Drawdown Days | 10 | 79 |
Recovery Factor | 1.69 | 38.78 |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | 2.72 | 285.84 |
Avg. Up Month | 1.3% | 0.74% |
Avg. Down Month | - | - |
Win Days | 59.82% | 85.34% |
Win Month | 73.81% | 85.71% |
Win Quarter | 73.33% | 86.67% |
Win Year | 100.0% | 100.0% |
Beta | 0.3 | - |
Alpha | 0.05 | - |
Correlation | 14.72% | - |
Treynor Ratio | 89.22% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 1.94 | 11.98 | 6.17 | + |
2020 | 4.91 | 8.24 | 1.68 | + |
2021 | 8.39 | 0.16 | 0.02 | - |
2022 | 10.97 | 4.41 | 0.40 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-06 | 2022-06-03 | -15.87 | 270 |
2020-02-25 | 2020-04-24 | -6.25 | 59 |
2021-01-05 | 2021-08-11 | -1.19 | 218 |
2022-06-14 | 2022-06-28 | -0.51 | 14 |
2019-04-01 | 2019-04-02 | -0.49 | 1 |
2019-03-18 | 2019-03-21 | -0.47 | 3 |
2020-05-29 | 2020-06-17 | -0.44 | 19 |
2019-12-06 | 2019-12-16 | -0.40 | 10 |
2020-07-03 | 2020-07-16 | -0.36 | 13 |
2019-03-14 | 2019-03-15 | -0.35 | 1 |