Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | 16.21% | 1.76% |
CAGR﹪ | 54.52% | 5.19% |
Sharpe | 0.99 | 35.75 |
Prob. Sharpe Ratio | 72.89% | - |
Smart Sharpe | 0.62 | 22.25 |
Sortino | 1.57 | - |
Smart Sortino | 0.98 | - |
Sortino/√2 | 1.11 | - |
Smart Sortino/√2 | 0.69 | - |
Omega | 1.42 | 1.42 |
Max Drawdown | -21.55% | - |
Longest DD Days | - | - |
Volatility (ann.) | 60.23% | 0.14% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.06 | 0.06 |
Calmar | 2.53 | - |
Skew | 1.6 | 0.52 |
Kurtosis | 37.37 | -1.12 |
Expected Daily | 0.17% | 0.02% |
Expected Monthly | 3.05% | 0.35% |
Expected Yearly | 16.21% | 1.76% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.0% | -0.01% |
Expected Shortfall (cVaR) | -6.0% | -0.01% |
Max Consecutive Wins | 7 | 89 |
Max Consecutive Losses | 4 | 0 |
Gain/Pain Ratio | 0.42 | - |
Gain/Pain (1M) | 28.52 | - |
Payoff Ratio | - | - |
Profit Factor | 1.42 | - |
Common Sense Ratio | 1.48 | - |
CPC Index | - | - |
Tail Ratio | 1.04 | 2.83 |
Outlier Win Ratio | 2.31 | 156.69 |
Outlier Loss Ratio | 1.78 | - |
MTD | -0.76% | 0.19% |
3M | 13.6% | 1.23% |
6M | 16.21% | 1.76% |
YTD | 16.21% | 1.76% |
1Y | 16.21% | 1.76% |
3Y (ann.) | 54.52% | 5.19% |
5Y (ann.) | 54.52% | 5.19% |
10Y (ann.) | 54.52% | 5.19% |
All-time (ann.) | 54.52% | 5.19% |
Best Day | 26.44% | 0.03% |
Worst Day | -21.55% | 0.0% |
Best Month | 8.66% | 0.63% |
Worst Month | -0.76% | 0.19% |
Best Year | 16.21% | 1.76% |
Worst Year | 16.21% | 1.76% |
Avg. Drawdown | -11.38% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.75 | - |
Ulcer Index | 0.12 | 0.0 |
Serenity Index | 0.25 | - |
Avg. Up Month | 5.45% | 0.43% |
Avg. Down Month | - | - |
Win Days | 60.67% | 100.0% |
Win Month | 60.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -1.74 | - |
Alpha | 0.68 | - |
Correlation | -0.39% | - |
Treynor Ratio | -9.34% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 1.76 | 16.21 | 9.20 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-06-06 | 2023-09-22 | -21.55 | 108 |
2023-05-23 | 2023-06-02 | -1.22 | 10 |