Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 34.15% | 22.46% |
CAGR﹪ | 5.73% | 3.92% |
Sharpe | 0.51 | 21.88 |
Prob. Sharpe Ratio | 83.54% | 100.0% |
Smart Sharpe | 0.49 | 21.37 |
Sortino | 0.81 | 168.85 |
Smart Sortino | 0.79 | 164.94 |
Sortino/√2 | 0.57 | 119.4 |
Smart Sortino/√2 | 0.56 | 116.63 |
Omega | 1.15 | 1.15 |
Max Drawdown | -26.1% | -0.4% |
Longest DD Days | 1254 | 120 |
Volatility (ann.) | 20.95% | 0.27% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.22 | 9.81 |
Skew | 3.47 | 0.19 |
Kurtosis | 182.72 | -0.22 |
Expected Daily | 0.03% | 0.02% |
Expected Monthly | 0.69% | 0.47% |
Expected Yearly | 5.02% | 3.43% |
Kelly Criterion | 8.36% | 88.25% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.13% | -0.0% |
Expected Shortfall (cVaR) | -2.13% | -0.0% |
Max Consecutive Wins | 8 | 463 |
Max Consecutive Losses | 7 | 43 |
Gain/Pain Ratio | 0.15 | 39.7 |
Gain/Pain (1M) | 0.84 | 39.7 |
Payoff Ratio | 1.2 | 5.12 |
Profit Factor | 1.15 | 40.7 |
Common Sense Ratio | 1.33 | 672.42 |
CPC Index | 0.69 | 187.96 |
Tail Ratio | 1.15 | 16.52 |
Outlier Win Ratio | 2.13 | 52.13 |
Outlier Loss Ratio | 1.76 | 170.02 |
MTD | -2.85% | 0.19% |
3M | -1.28% | 1.35% |
6M | 27.54% | 3.35% |
YTD | 2.99% | 2.6% |
1Y | 27.54% | 3.35% |
3Y (ann.) | 2.36% | 3.39% |
5Y (ann.) | 5.73% | 3.91% |
10Y (ann.) | 5.73% | 3.92% |
All-time (ann.) | 5.73% | 3.92% |
Best Day | 24.17% | 0.06% |
Worst Day | -19.56% | -0.01% |
Best Month | 23.84% | 1.17% |
Worst Month | -17.25% | -0.24% |
Best Year | 25.78% | 8.39% |
Worst Year | -17.42% | 0.73% |
Avg. Drawdown | -3.07% | -0.25% |
Avg. Drawdown Days | 81 | 93 |
Recovery Factor | 1.31 | 56.21 |
Ulcer Index | 0.05 | 0.0 |
Serenity Index | 0.88 | 30.03 |
Avg. Up Month | 3.17% | 0.47% |
Avg. Down Month | -2.34% | -0.16% |
Win Days | 49.94% | 90.17% |
Win Month | 58.14% | 90.7% |
Win Quarter | 43.75% | 93.75% |
Win Year | 66.67% | 100.0% |
Beta | -0.69 | - |
Alpha | 0.15 | - |
Correlation | -0.87% | - |
Treynor Ratio | -49.78% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 1.99 | 2.65 | 1.34 | + |
2020 | 4.91 | 25.78 | 5.25 | + |
2021 | 8.39 | -1.34 | -0.16 | - |
2022 | 2.17 | -17.42 | -8.02 | - |
2023 | 0.73 | 23.84 | 32.66 | + |
2024 | 2.60 | 2.99 | 1.15 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2024-04-10 | -26.10 | 1254 |
2020-03-19 | 2020-08-25 | -9.70 | 159 |
2019-09-04 | 2020-02-25 | -6.60 | 174 |
2024-04-17 | 2024-05-16 | -3.41 | 29 |
2020-09-30 | 2020-10-30 | -3.12 | 30 |
2020-03-13 | 2020-03-18 | -3.07 | 5 |
2019-02-15 | 2019-05-02 | -2.97 | 76 |
2019-06-07 | 2019-08-02 | -2.64 | 56 |
2020-08-27 | 2020-09-03 | -2.51 | 7 |
2020-09-09 | 2020-09-21 | -1.98 | 12 |