Metric | benchmark | Strategy |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 707.99% | 5,466.39% |
CAGR﹪ | 6.71% | 13.3% |
Sharpe | 0.5 | 0.79 |
Prob. Sharpe Ratio | 98.98% | 99.99% |
Smart Sharpe | 0.48 | 0.76 |
Sortino | 0.71 | 1.15 |
Smart Sortino | 0.68 | 1.1 |
Sortino/√2 | 0.5 | 0.81 |
Smart Sortino/√2 | 0.48 | 0.78 |
Omega | 1.16 | 1.16 |
Max Drawdown | -47.95% | -58.08% |
Longest DD Days | 1669 | 711 |
Volatility (ann.) | 26.03% | 28.27% |
R^2 | 0.86 | 0.86 |
Information Ratio | 0.06 | 0.06 |
Calmar | 0.14 | 0.23 |
Skew | -0.26 | -0.23 |
Kurtosis | 8.76 | 11.0 |
Expected Daily | 0.04% | 0.07% |
Expected Monthly | 0.79% | 1.52% |
Expected Yearly | 9.51% | 19.1% |
Kelly Criterion | 3.29% | 7.96% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.65% | -2.84% |
Expected Shortfall (cVaR) | -2.65% | -2.84% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 11 | 9 |
Gain/Pain Ratio | 0.09 | 0.16 |
Gain/Pain (1M) | 0.5 | 1.01 |
Payoff Ratio | 0.99 | 1.04 |
Profit Factor | 1.09 | 1.16 |
Common Sense Ratio | 1.08 | 1.23 |
CPC Index | 0.56 | 0.64 |
Tail Ratio | 0.99 | 1.07 |
Outlier Win Ratio | 3.75 | 3.52 |
Outlier Loss Ratio | 3.87 | 3.69 |
MTD | -0.34% | 1.65% |
3M | -2.69% | -1.44% |
6M | -12.9% | -14.44% |
YTD | 0.5% | 0.89% |
1Y | -12.0% | -9.96% |
3Y (ann.) | 4.56% | 10.52% |
5Y (ann.) | 7.24% | 11.49% |
10Y (ann.) | 3.57% | 8.53% |
All-time (ann.) | 6.71% | 13.3% |
Best Day | 14.09% | 15.71% |
Worst Day | -16.28% | -18.48% |
Best Month | 28.15% | 27.58% |
Worst Month | -35.47% | -39.1% |
Best Year | 73.81% | 70.89% |
Worst Year | -21.26% | -24.54% |
Avg. Drawdown | -4.64% | -3.77% |
Avg. Drawdown Days | 54 | 27 |
Recovery Factor | 5.9 | 8.43 |
Ulcer Index | 0.15 | 0.12 |
Serenity Index | 1.07 | 3.28 |
Avg. Up Month | 5.69% | 6.35% |
Avg. Down Month | -6.17% | -5.62% |
Win Days | 51.9% | 52.98% |
Win Month | 58.8% | 64.42% |
Win Quarter | 61.8% | 67.42% |
Win Year | 65.22% | 78.26% |
Beta | - | 1.01 |
Alpha | - | 0.09 |
Correlation | - | 92.91% |
Treynor Ratio | - | 5417.46% |
Year | benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2000 | -7.19 | -7.30 | 1.02 | - |
2001 | 4.58 | 27.66 | 6.04 | + |
2002 | -14.31 | 24.32 | -1.70 | + |
2003 | 65.77 | 70.89 | 1.08 | + |
2004 | 22.87 | 47.52 | 2.08 | + |
2005 | 10.35 | 43.80 | 4.23 | + |
2006 | 41.14 | 54.68 | 1.33 | + |
2007 | 16.85 | 19.51 | 1.16 | + |
2008 | -21.26 | -24.54 | 1.15 | - |
2009 | 73.81 | 65.01 | 0.88 | - |
2010 | 8.62 | 17.74 | 2.06 | + |
2011 | -9.11 | -0.71 | 0.08 | + |
2012 | 11.68 | 19.90 | 1.70 | + |
2013 | -8.11 | 10.42 | -1.28 | + |
2014 | -7.29 | 11.38 | -1.56 | + |
2015 | -11.59 | -4.34 | 0.37 | + |
2016 | 28.14 | 13.87 | 0.49 | - |
2017 | 28.04 | 31.49 | 1.12 | + |
2018 | 7.65 | 10.53 | 1.38 | + |
2019 | 49.04 | 60.95 | 1.24 | + |
2020 | 0.48 | 12.94 | 26.90 | + |
2021 | -13.26 | -9.41 | 0.71 | + |
2022 | 0.50 | 0.89 | 1.78 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2007-11-05 | 2009-10-15 | -58.08 | 711 |
2020-01-30 | 2020-12-01 | -50.52 | 307 |
2021-07-21 | 2022-03-23 | -30.94 | 246 |
2010-10-20 | 2012-02-22 | -30.52 | 491 |
2004-02-02 | 2004-08-23 | -27.56 | 204 |
2000-08-21 | 2001-01-16 | -25.49 | 149 |
2000-01-24 | 2000-07-12 | -23.77 | 171 |
2001-08-21 | 2002-01-08 | -22.70 | 141 |
2002-04-24 | 2002-11-20 | -21.49 | 211 |
2015-05-22 | 2016-05-17 | -21.41 | 362 |