Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 110.85% | 81.87% |
CAGR﹪ | 10.15% | 8.06% |
Sharpe | 0.36 | 45.27 |
Prob. Sharpe Ratio | 97.2% | 100.0% |
Smart Sharpe | 0.32 | 40.92 |
Sortino | 3.32 | - |
Smart Sortino | 3.0 | - |
Sortino/√2 | 2.35 | - |
Smart Sortino/√2 | 2.12 | - |
Omega | 2.27 | 2.27 |
Max Drawdown | -90.76% | - |
Longest DD Days | - | - |
Volatility (ann.) | 322.42% | 0.17% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.11 | - |
Skew | 42.91 | 1.5 |
Kurtosis | 1869.7 | 3.83 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.81% | 0.65% |
Expected Yearly | 8.64% | 6.87% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -32.95% | -0.01% |
Expected Shortfall (cVaR) | -32.95% | -0.01% |
Max Consecutive Wins | 11 | 1919 |
Max Consecutive Losses | 9 | 0 |
Gain/Pain Ratio | 1.27 | - |
Gain/Pain (1M) | 10.86 | - |
Payoff Ratio | - | - |
Profit Factor | 2.27 | - |
Common Sense Ratio | 2.53 | - |
CPC Index | - | - |
Tail Ratio | 1.12 | 3.01 |
Outlier Win Ratio | 1.05 | 50.71 |
Outlier Loss Ratio | 1.62 | - |
MTD | -23.26% | 0.72% |
3M | -25.32% | 2.14% |
6M | -25.19% | 3.87% |
YTD | -24.55% | 1.37% |
1Y | -24.22% | 6.51% |
3Y (ann.) | -0.97% | 6.02% |
5Y (ann.) | 3.47% | 6.56% |
10Y (ann.) | 10.15% | 8.06% |
All-time (ann.) | 10.15% | 8.06% |
Best Day | 884.07% | 0.08% |
Worst Day | -89.97% | 0.0% |
Best Month | 19.06% | 1.28% |
Worst Month | -23.26% | 0.37% |
Best Year | 50.32% | 12.29% |
Worst Year | -24.55% | 1.37% |
Avg. Drawdown | -4.97% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 1.22 | - |
Ulcer Index | 0.11 | 0.0 |
Serenity Index | 10.38 | - |
Avg. Up Month | 3.42% | 0.65% |
Avg. Down Month | - | - |
Win Days | 51.47% | 100.0% |
Win Month | 60.22% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 55.56% | 100.0% |
Beta | 49.95 | - |
Alpha | -2.76 | - |
Correlation | 2.69% | - |
Treynor Ratio | 2.22% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 6.09 | 37.58 | 6.17 | + |
2015 | 12.29 | 50.32 | 4.09 | + |
2016 | 9.60 | -10.83 | -1.13 | - |
2017 | 7.87 | 2.88 | 0.37 | - |
2018 | 6.96 | 20.82 | 2.99 | + |
2019 | 7.22 | -2.20 | -0.30 | - |
2020 | 4.97 | 25.78 | 5.19 | + |
2021 | 5.82 | -0.90 | -0.15 | - |
2022 | 1.37 | -24.55 | -17.92 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2022-02-25 | -90.76 | 479 |
2016-01-22 | 2019-08-14 | -24.46 | 1300 |
2015-02-02 | 2015-07-28 | -19.60 | 176 |
2014-12-17 | 2015-01-29 | -18.37 | 43 |
2015-08-25 | 2015-12-04 | -9.41 | 101 |
2020-04-22 | 2020-07-31 | -7.66 | 100 |
2020-03-13 | 2020-03-30 | -7.65 | 17 |
2019-09-04 | 2020-02-27 | -6.78 | 176 |
2014-11-18 | 2014-11-28 | -5.26 | 10 |
2014-12-03 | 2014-12-15 | -4.70 | 12 |