Metric | benchmark_returns | Strategy |
---|---|---|
Risk-Free Rate | 2.0% | 2.0% |
Time in Market | 100.0% | 69.0% |
Cumulative Return | 178.44% | 76.47% |
CAGR﹪ | 7.47% | 4.08% |
Sharpe | 0.57 | 0.4 |
Prob. Sharpe Ratio | 86.75% | 78.49% |
Smart Sharpe | 0.55 | 0.38 |
Sortino | 0.79 | 0.53 |
Smart Sortino | 0.76 | 0.52 |
Sortino/√2 | 0.56 | 0.38 |
Smart Sortino/√2 | 0.54 | 0.37 |
Omega | 1.09 | 1.09 |
Max Drawdown | -34.1% | -28.46% |
Longest DD Days | 745 | 1037 |
Volatility (ann.) | 17.74% | 11.19% |
R^2 | 0.4 | 0.4 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.22 | 0.14 |
Skew | -0.54 | -0.98 |
Kurtosis | 12.65 | 7.66 |
Expected Daily | 0.04% | 0.02% |
Expected Monthly | 0.86% | 0.48% |
Expected Yearly | 9.76% | 5.3% |
Kelly Criterion | 5.56% | 6.4% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.79% | -1.13% |
Expected Shortfall (cVaR) | -1.79% | -1.13% |
Max Consecutive Wins | 10 | 8 |
Max Consecutive Losses | 8 | 7 |
Gain/Pain Ratio | 0.14 | 0.13 |
Gain/Pain (1M) | 0.78 | 0.63 |
Payoff Ratio | 0.94 | 0.94 |
Profit Factor | 1.14 | 1.13 |
Common Sense Ratio | 1.07 | 1.22 |
CPC Index | 0.58 | 0.58 |
Tail Ratio | 0.94 | 1.08 |
Outlier Win Ratio | 3.06 | 6.98 |
Outlier Loss Ratio | 3.72 | 4.52 |
MTD | 1.88% | 1.88% |
3M | 8.07% | 3.16% |
6M | 18.65% | 13.27% |
YTD | 16.65% | 11.35% |
1Y | 24.94% | 16.4% |
3Y (ann.) | 5.68% | -1.37% |
5Y (ann.) | 9.38% | 4.44% |
10Y (ann.) | 7.47% | 4.08% |
All-time (ann.) | 7.47% | 4.08% |
Best Day | 9.06% | 4.33% |
Worst Day | -10.94% | -5.76% |
Best Month | 12.7% | 10.88% |
Worst Month | -13.0% | -9.03% |
Best Year | 28.79% | 20.42% |
Worst Year | -19.48% | -22.48% |
Avg. Drawdown | -1.8% | -1.81% |
Avg. Drawdown Days | 21 | 35 |
Recovery Factor | 3.46 | 2.21 |
Ulcer Index | 0.08 | 0.1 |
Serenity Index | 1.13 | 0.22 |
Avg. Up Month | 3.28% | 2.51% |
Avg. Down Month | -3.41% | -3.37% |
Win Days | 54.26% | 54.67% |
Win Month | 66.39% | 65.35% |
Win Quarter | 75.61% | 63.41% |
Win Year | 72.73% | 72.73% |
Beta | - | 0.4 |
Alpha | - | 0.02 |
Correlation | - | 63.05% |
Treynor Ratio | - | 187.14% |
Year | benchmark_returns | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 3.22 | -2.56 | -0.80 | - |
2015 | -0.81 | -1.91 | 2.35 | - |
2016 | 9.64 | 8.43 | 0.87 | - |
2017 | 19.38 | 17.03 | 0.88 | - |
2018 | -6.35 | 2.13 | -0.34 | + |
2019 | 28.79 | 8.50 | 0.30 | - |
2020 | 16.16 | 18.53 | 1.15 | + |
2021 | 27.04 | 20.42 | 0.76 | - |
2022 | -19.48 | -22.48 | 1.15 | - |
2023 | 24.29 | 6.58 | 0.27 | - |
2024 | 16.65 | 11.35 | 0.68 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-03 | 2024-07-05 | -28.46 | 1037 |
2020-02-20 | 2020-06-05 | -12.44 | 107 |
2020-09-03 | 2020-12-03 | -11.64 | 92 |
2019-05-06 | 2019-12-31 | -10.86 | 240 |
2018-01-29 | 2018-08-24 | -10.10 | 208 |
2014-09-19 | 2016-06-07 | -7.93 | 628 |
2018-09-21 | 2019-04-11 | -7.29 | 203 |
2020-06-09 | 2020-07-17 | -7.16 | 39 |
2016-06-09 | 2016-07-07 | -6.01 | 29 |
2021-02-16 | 2021-03-10 | -4.06 | 23 |