Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 15.98% | 15.92% |
CAGR﹪ | 2.85% | 2.84% |
Sharpe | -15.64 | -23.02 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.42 | -13.87 |
Sortino | -12.29 | -13.28 |
Smart Sortino | -7.41 | -8.0 |
Sortino/√2 | -8.69 | -9.39 |
Smart Sortino/√2 | -5.24 | -5.66 |
Omega | 0.04 | 0.04 |
Max Drawdown | -27.13% | -26.55% |
Longest DD Days | 1254 | 1254 |
Volatility (ann.) | 13.11% | 8.93% |
R^2 | 0.56 | 0.56 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.1 | 0.11 |
Skew | 2.17 | -10.76 |
Kurtosis | 240.29 | 284.68 |
Expected Daily | 0.01% | 0.01% |
Expected Monthly | 0.23% | 0.23% |
Expected Yearly | 2.5% | 2.49% |
Kelly Criterion | 3.43% | 5.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.34% | -0.91% |
Expected Shortfall (cVaR) | -1.34% | -0.91% |
Max Consecutive Wins | 9 | 16 |
Max Consecutive Losses | 10 | 15 |
Gain/Pain Ratio | 0.1 | 0.12 |
Gain/Pain (1M) | 0.45 | 0.33 |
Payoff Ratio | 0.95 | 0.9 |
Profit Factor | 1.1 | 1.12 |
Common Sense Ratio | 1.25 | 1.26 |
CPC Index | 0.55 | 0.56 |
Tail Ratio | 1.13 | 1.12 |
Outlier Win Ratio | 4.17 | 5.9 |
Outlier Loss Ratio | 4.21 | 5.67 |
MTD | -1.28% | -1.3% |
3M | -4.77% | -4.61% |
6M | -3.48% | -3.42% |
YTD | -4.27% | -4.24% |
1Y | -6.31% | -6.25% |
3Y (ann.) | -1.46% | -1.36% |
5Y (ann.) | 2.02% | 2.03% |
10Y (ann.) | 2.85% | 2.84% |
All-time (ann.) | 2.85% | 2.84% |
Best Day | 17.61% | 4.33% |
Worst Day | -14.34% | -13.79% |
Best Month | 9.16% | 8.57% |
Worst Month | -5.81% | -15.22% |
Best Year | 15.78% | 15.77% |
Worst Year | -5.45% | -5.68% |
Avg. Drawdown | -1.44% | -1.08% |
Avg. Drawdown Days | 44 | 40 |
Recovery Factor | 0.59 | 0.6 |
Ulcer Index | 0.04 | 0.04 |
Serenity Index | -16.39 | -11.21 |
Avg. Up Month | 1.95% | 1.89% |
Avg. Down Month | -1.43% | -1.76% |
Win Days | 52.92% | 55.44% |
Win Month | 51.56% | 53.12% |
Win Quarter | 59.09% | 59.09% |
Win Year | 50.0% | 66.67% |
Beta | 1.1 | - |
Alpha | 0.0 | - |
Correlation | 75.13% | - |
Treynor Ratio | -619.98% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 15.77 | 15.78 | 1.00 | + |
2020 | 7.39 | 7.29 | 0.99 | - |
2021 | -5.68 | -5.45 | 0.96 | + |
2022 | 3.14 | 3.31 | 1.06 | + |
2023 | 0.09 | -0.15 | -1.66 | - |
2024 | -4.24 | -4.27 | 1.01 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-12-09 | 2024-05-16 | -27.13 | 1254 |
2020-02-25 | 2020-04-23 | -10.79 | 58 |
2019-05-06 | 2019-06-19 | -3.34 | 44 |
2020-06-22 | 2020-11-12 | -2.42 | 143 |
2019-02-07 | 2019-03-11 | -1.33 | 32 |
2019-03-22 | 2019-04-15 | -1.15 | 24 |
2020-05-27 | 2020-06-18 | -1.13 | 22 |
2019-09-11 | 2019-10-07 | -1.09 | 26 |
2019-07-26 | 2019-08-21 | -0.97 | 26 |
2019-11-06 | 2019-11-22 | -0.90 | 16 |