Metric | benchmark_returns | Strategy |
---|---|---|
Risk-Free Rate | 2.0% | 2.0% |
Time in Market | 100.0% | 43.0% |
Cumulative Return | 197.76% | 101.85% |
CAGR﹪ | 8.06% | 5.11% |
Sharpe | 0.61 | 0.43 |
Prob. Sharpe Ratio | 89.31% | 77.65% |
Smart Sharpe | 0.51 | 0.36 |
Sortino | 0.85 | 0.61 |
Smart Sortino | 0.71 | 0.51 |
Sortino/√2 | 0.6 | 0.43 |
Smart Sortino/√2 | 0.5 | 0.36 |
Omega | 1.13 | 1.13 |
Max Drawdown | -34.1% | -28.74% |
Longest DD Days | 745 | 694 |
Volatility (ann.) | 17.75% | 14.77% |
R^2 | 0.69 | 0.69 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.24 | 0.18 |
Skew | -0.55 | -0.42 |
Kurtosis | 12.73 | 27.01 |
Expected Daily | 0.04% | 0.03% |
Expected Monthly | 0.93% | 0.6% |
Expected Yearly | 10.43% | 6.59% |
Kelly Criterion | 10.12% | 8.12% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.79% | -1.5% |
Expected Shortfall (cVaR) | -1.79% | -1.5% |
Max Consecutive Wins | 10 | 8 |
Max Consecutive Losses | 8 | 8 |
Gain/Pain Ratio | 0.15 | 0.18 |
Gain/Pain (1M) | 0.83 | 1.19 |
Payoff Ratio | 1.03 | 1.03 |
Profit Factor | 1.15 | 1.18 |
Common Sense Ratio | 1.08 | 1.34 |
CPC Index | 0.64 | 0.65 |
Tail Ratio | 0.94 | 1.14 |
Outlier Win Ratio | 3.67 | 9.72 |
Outlier Loss Ratio | 4.06 | 3.28 |
MTD | 1.91% | 0.0% |
3M | 8.1% | 0.0% |
6M | 18.7% | 0.0% |
YTD | 16.69% | 0.0% |
1Y | 24.98% | 6.93% |
3Y (ann.) | 5.69% | 5.06% |
5Y (ann.) | 9.39% | 4.9% |
10Y (ann.) | 8.06% | 5.11% |
All-time (ann.) | 8.06% | 5.11% |
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% | 20.51% |
Worst Year | -19.48% | 0.0% |
Avg. Drawdown | -1.72% | -3.3% |
Avg. Drawdown Days | 20 | 38 |
Recovery Factor | 3.65 | 2.81 |
Ulcer Index | 0.08 | 0.04 |
Serenity Index | 1.19 | 2.13 |
Avg. Up Month | 3.95% | 3.74% |
Avg. Down Month | -4.78% | -3.96% |
Win Days | 54.43% | 53.42% |
Win Month | 66.95% | 68.97% |
Win Quarter | 77.5% | 82.61% |
Win Year | 72.73% | 100.0% |
Beta | - | 0.69 |
Alpha | - | -0.01 |
Correlation | - | 83.12% |
Treynor Ratio | - | 144.42% |
Year | benchmark_returns | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 10.35 | 9.72 | 0.94 | - |
2015 | -0.81 | 8.86 | -10.91 | + |
2016 | 9.64 | 8.26 | 0.86 | - |
2017 | 19.38 | 0.00 | 0.00 | - |
2018 | -6.35 | 0.05 | -0.01 | + |
2019 | 28.79 | 20.51 | 0.71 | - |
2020 | 16.16 | 5.10 | 0.32 | - |
2021 | 27.04 | 0.00 | 0.00 | - |
2022 | -19.48 | 2.50 | -0.13 | + |
2023 | 24.29 | 20.20 | 0.83 | - |
2024 | 16.69 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-03-05 | 2022-01-27 | -28.74 | 694 |
2022-03-30 | 2022-11-21 | -20.73 | 237 |
2018-11-08 | 2019-08-05 | -16.61 | 271 |
2015-11-04 | 2016-06-03 | -13.34 | 213 |
2022-02-10 | 2022-03-28 | -9.02 | 47 |
2018-03-12 | 2018-06-11 | -7.67 | 92 |
2022-12-01 | 2023-01-31 | -7.61 | 62 |
2023-02-03 | 2023-05-17 | -7.54 | 104 |
2015-09-17 | 2015-10-07 | -6.08 | 21 |
2016-06-09 | 2016-07-07 | -6.01 | 29 |