Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 6.0% |
Cumulative Return | 20.99% |
CAGR﹪ | 2.21% |
Sharpe | 0.65 |
Prob. Sharpe Ratio | 94.72% |
Smart Sharpe | 0.65 |
Sortino | 0.87 |
Smart Sortino | 0.87 |
Sortino/√2 | 0.62 |
Smart Sortino/√2 | 0.62 |
Omega | 1.85 |
Max Drawdown | -7.99% |
Longest DD Days | 648 |
Volatility (ann.) | 3.45% |
Calmar | 0.28 |
Skew | -7.32 |
Kurtosis | 255.67 |
Expected Daily | 0.01% |
Expected Monthly | 0.26% |
Expected Yearly | 2.76% |
Kelly Criterion | 31.12% |
Risk of Ruin | 0.0% |
Daily Value-at-Risk | -0.35% |
Expected Shortfall (cVaR) | -0.35% |
Max Consecutive Wins | 2 |
Max Consecutive Losses | 2 |
Gain/Pain Ratio | 0.85 |
Gain/Pain (1M) | 1.08 |
Payoff Ratio | 0.88 |
Profit Factor | 1.85 |
Common Sense Ratio | - |
CPC Index | 1.11 |
Tail Ratio | - |
Outlier Win Ratio | 29.03 |
Outlier Loss Ratio | 0.37 |
MTD | 0.0% |
3M | -1.21% |
6M | 3.18% |
YTD | 3.18% |
1Y | 9.76% |
3Y (ann.) | 3.38% |
5Y (ann.) | 3.19% |
10Y (ann.) | 2.21% |
All-time (ann.) | 2.21% |
Best Day | 2.8% |
Worst Day | -5.3% |
Best Month | 5.69% |
Worst Month | -5.36% |
Best Year | 7.52% |
Worst Year | -4.62% |
Avg. Drawdown | -1.32% |
Avg. Drawdown Days | 116 |
Recovery Factor | 2.45 |
Ulcer Index | 0.03 |
Serenity Index | 0.29 |
Avg. Up Month | 0.88% |
Avg. Down Month | -1.07% |
Win Days | 67.69% |
Win Month | 71.67% |
Win Quarter | 69.57% |
Win Year | 85.71% |
Year | Return | Cumulative |
---|---|---|
2019 | 0.21% | 0.2% |
2020 | -4.53% | -4.62% |
2021 | 6.43% | 6.6% |
2022 | 7.31% | 7.52% |
2023 | 1.63% | 1.64% |
2024 | 5.26% | 5.33% |
2025 | 3.28% | 3.18% |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-06-15 | 2022-03-24 | -7.99 | 648 |
2025-04-01 | 2025-07-01 | -4.00 | 92 |
2024-05-31 | 2024-11-05 | -1.85 | 159 |
2023-02-07 | 2023-08-27 | -0.94 | 202 |
2019-07-22 | 2019-12-01 | -0.75 | 133 |
2022-08-26 | 2022-10-12 | -0.66 | 48 |
2020-01-07 | 2020-03-30 | -0.64 | 84 |
2025-01-14 | 2025-03-02 | -0.50 | 48 |
2022-03-28 | 2022-05-19 | -0.41 | 53 |
2024-01-19 | 2024-03-18 | -0.30 | 60 |