Metric | benchmark_returns | Strategy |
---|---|---|
Risk-Free Rate | 2.0% | 2.0% |
Time in Market | 100.0% | 71.0% |
Cumulative Return | 190.34% | 177.87% |
CAGR﹪ | 7.7% | 7.38% |
Sharpe | 0.59 | 0.6 |
Prob. Sharpe Ratio | 88.14% | 89.32% |
Smart Sharpe | 0.51 | 0.52 |
Sortino | 0.81 | 0.84 |
Smart Sortino | 0.71 | 0.73 |
Sortino/√2 | 0.58 | 0.59 |
Smart Sortino/√2 | 0.5 | 0.52 |
Omega | 1.14 | 1.14 |
Max Drawdown | -34.1% | -34.1% |
Longest DD Days | 745 | 840 |
Volatility (ann.) | 17.66% | 16.2% |
R^2 | 0.84 | 0.84 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.23 | 0.22 |
Skew | -0.55 | -0.49 |
Kurtosis | 12.76 | 18.07 |
Expected Daily | 0.04% | 0.04% |
Expected Monthly | 0.89% | 0.86% |
Expected Yearly | 10.17% | 9.74% |
Kelly Criterion | 7.87% | 8.19% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.78% | -1.63% |
Expected Shortfall (cVaR) | -1.78% | -1.63% |
Max Consecutive Wins | 10 | 10 |
Max Consecutive Losses | 8 | 8 |
Gain/Pain Ratio | 0.14 | 0.18 |
Gain/Pain (1M) | 0.81 | 1.04 |
Payoff Ratio | 0.99 | 0.99 |
Profit Factor | 1.14 | 1.18 |
Common Sense Ratio | 1.08 | 1.17 |
CPC Index | 0.61 | 0.63 |
Tail Ratio | 0.94 | 1.0 |
Outlier Win Ratio | 3.67 | 5.8 |
Outlier Loss Ratio | 4.14 | 3.83 |
MTD | 1.91% | 0.0% |
3M | 8.1% | 7.45% |
6M | 18.7% | 7.45% |
YTD | 16.69% | 7.45% |
1Y | 24.98% | 11.39% |
3Y (ann.) | 5.69% | 3.75% |
5Y (ann.) | 9.39% | 8.88% |
10Y (ann.) | 7.7% | 7.38% |
All-time (ann.) | 7.7% | 7.38% |
Best Day | 9.06% | 9.06% |
Worst Day | -10.94% | -10.94% |
Best Month | 12.7% | 12.7% |
Worst Month | -13.0% | -13.0% |
Best Year | 28.79% | 28.75% |
Worst Year | -19.48% | -15.63% |
Avg. Drawdown | -1.74% | -1.97% |
Avg. Drawdown Days | 20 | 24 |
Recovery Factor | 3.58 | 3.38 |
Ulcer Index | 0.08 | 0.07 |
Serenity Index | 1.18 | 1.27 |
Avg. Up Month | 3.55% | 3.14% |
Avg. Down Month | -4.36% | -3.95% |
Win Days | 54.28% | 54.44% |
Win Month | 66.67% | 72.64% |
Win Quarter | 78.05% | 74.36% |
Win Year | 72.73% | 81.82% |
Beta | - | 0.84 |
Alpha | - | 0.01 |
Correlation | - | 91.73% |
Treynor Ratio | - | 208.97% |
Year | benchmark_returns | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 7.60 | 9.08 | 1.20 | + |
2015 | -0.81 | -0.81 | 1.00 | + |
2016 | 9.64 | 9.96 | 1.03 | + |
2017 | 19.38 | 8.68 | 0.45 | - |
2018 | -6.35 | 0.08 | -0.01 | + |
2019 | 28.79 | 25.81 | 0.90 | - |
2020 | 16.16 | 28.75 | 1.78 | + |
2021 | 27.04 | 23.08 | 0.85 | - |
2022 | -19.48 | -15.63 | 0.80 | + |
2023 | 24.29 | 18.80 | 0.77 | - |
2024 | 16.69 | 7.45 | 0.45 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-20 | 2020-08-20 | -34.10 | 183 |
2022-01-04 | 2024-04-22 | -24.59 | 840 |
2018-11-08 | 2019-03-12 | -16.61 | 125 |
2015-05-22 | 2016-07-07 | -14.35 | 413 |
2018-03-12 | 2018-07-05 | -7.67 | 116 |
2014-09-25 | 2014-10-30 | -6.66 | 36 |
2019-05-06 | 2019-06-19 | -6.62 | 45 |
2019-07-29 | 2019-10-25 | -6.02 | 89 |
2018-10-18 | 2018-11-06 | -5.92 | 20 |
2020-09-16 | 2020-10-06 | -5.15 | 21 |