Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 92.97% | 92.59% |
CAGR﹪ | 12.39% | 12.35% |
Sharpe | -8.87 | -7.23 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.69 | -7.09 |
Sortino | -8.25 | -7.2 |
Smart Sortino | -8.09 | -7.06 |
Sortino/√2 | -5.84 | -5.09 |
Smart Sortino/√2 | -5.72 | -4.99 |
Omega | 0.17 | 0.17 |
Max Drawdown | -54.18% | -54.27% |
Longest DD Days | 938 | 938 |
Volatility (ann.) | 21.93% | 26.71% |
R^2 | 0.69 | 0.69 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.23 | 0.23 |
Skew | -1.96 | -5.04 |
Kurtosis | 18.55 | 126.03 |
Expected Daily | 0.05% | 0.05% |
Expected Monthly | 0.97% | 0.97% |
Expected Yearly | 9.85% | 9.82% |
Kelly Criterion | 5.85% | 4.48% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.22% | -2.71% |
Expected Shortfall (cVaR) | -2.22% | -2.71% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 8 | 6 |
Gain/Pain Ratio | 0.14 | 0.15 |
Gain/Pain (1M) | 0.69 | 0.75 |
Payoff Ratio | 0.86 | 0.83 |
Profit Factor | 1.14 | 1.15 |
Common Sense Ratio | 1.17 | 1.15 |
CPC Index | 0.55 | 0.54 |
Tail Ratio | 1.03 | 1.0 |
Outlier Win Ratio | 3.86 | 3.71 |
Outlier Loss Ratio | 4.68 | 4.6 |
MTD | 1.41% | 1.42% |
3M | 7.76% | 7.73% |
6M | 11.35% | 11.63% |
YTD | 14.31% | 14.13% |
1Y | 40.12% | 40.52% |
3Y (ann.) | 2.68% | 2.83% |
5Y (ann.) | 11.29% | 11.34% |
10Y (ann.) | 12.39% | 12.35% |
All-time (ann.) | 12.39% | 12.35% |
Best Day | 7.45% | 19.24% |
Worst Day | -14.14% | -33.3% |
Best Month | 15.26% | 15.4% |
Worst Month | -26.92% | -30.56% |
Best Year | 52.03% | 52.38% |
Worst Year | -38.96% | -38.95% |
Avg. Drawdown | -2.96% | -3.12% |
Avg. Drawdown Days | 33 | 34 |
Recovery Factor | 1.72 | 1.71 |
Ulcer Index | 0.23 | 0.23 |
Serenity Index | -0.87 | -1.06 |
Avg. Up Month | 4.18% | 4.34% |
Avg. Down Month | -6.07% | -6.37% |
Win Days | 56.58% | 56.6% |
Win Month | 70.59% | 70.59% |
Win Quarter | 73.91% | 73.91% |
Win Year | 71.43% | 71.43% |
Beta | 0.68 | - |
Alpha | 0.04 | - |
Correlation | 82.78% | - |
Treynor Ratio | -893.15% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2018 | -3.15 | -2.60 | 0.83 | + |
2019 | 36.78 | 37.44 | 1.02 | + |
2020 | 13.52 | 13.38 | 0.99 | - |
2021 | 20.63 | 19.85 | 0.96 | - |
2022 | -38.95 | -38.96 | 1.00 | - |
2023 | 52.38 | 52.03 | 0.99 | - |
2024 | 14.13 | 14.31 | 1.01 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-05-16 | -54.18 | 938 |
2020-01-21 | 2020-11-18 | -34.16 | 302 |
2018-10-04 | 2019-01-21 | -7.56 | 109 |
2021-01-15 | 2021-03-11 | -6.27 | 55 |
2019-07-05 | 2019-09-03 | -5.61 | 60 |
2019-11-08 | 2019-12-18 | -4.72 | 40 |
2019-09-17 | 2019-10-23 | -4.54 | 36 |
2021-07-08 | 2021-08-10 | -4.16 | 33 |
2019-02-06 | 2019-04-09 | -4.00 | 62 |
2021-03-16 | 2021-04-16 | -3.86 | 31 |