Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 100.0% |
Cumulative Return | 15.62% |
CAGR﹪ | 10.54% |
Sharpe | 0.75 |
Prob. Sharpe Ratio | 77.58% |
Smart Sharpe | 0.69 |
Sortino | 1.13 |
Smart Sortino | 1.04 |
Sortino/√2 | 0.8 |
Smart Sortino/√2 | 0.73 |
Omega | 1.14 |
Max Drawdown | -16.61% |
Longest DD Days | 178 |
Volatility (ann.) | 22.7% |
Calmar | 0.63 |
Skew | 0.44 |
Kurtosis | 3.64 |
Expected Daily | 0.06% |
Expected Monthly | 1.12% |
Expected Yearly | 7.53% |
Kelly Criterion | 6.65% |
Risk of Ruin | 0.0% |
Daily Value-at-Risk | -2.28% |
Expected Shortfall (cVaR) | -2.28% |
Max Consecutive Wins | 8 |
Max Consecutive Losses | 7 |
Gain/Pain Ratio | 0.14 |
Gain/Pain (1M) | 0.75 |
Payoff Ratio | 0.93 |
Profit Factor | 1.14 |
Common Sense Ratio | 1.08 |
CPC Index | 0.58 |
Tail Ratio | 0.95 |
Outlier Win Ratio | 3.72 |
Outlier Loss Ratio | 3.26 |
MTD | -1.0% |
3M | 30.04% |
6M | 17.97% |
YTD | 14.5% |
1Y | 15.62% |
3Y (ann.) | 10.54% |
5Y (ann.) | 10.54% |
10Y (ann.) | 10.54% |
All-time (ann.) | 10.54% |
Best Day | 7.26% |
Worst Day | -4.8% |
Best Month | 13.02% |
Worst Month | -8.87% |
Best Year | 14.5% |
Worst Year | 0.98% |
Avg. Drawdown | -5.21% |
Avg. Drawdown Days | 37 |
Recovery Factor | 1.03 |
Ulcer Index | 0.08 |
Serenity Index | 0.23 |
Avg. Up Month | 8.15% |
Avg. Down Month | -2.95% |
Win Days | 54.98% |
Win Month | 38.46% |
Win Quarter | 60.0% |
Win Year | 100.0% |
Year | Return | Cumulative |
---|---|---|
2023 | 1.78% | 0.98% |
2024 | 15.29% | 14.5% |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-12-15 | 2024-06-10 | -16.61 | 178 |
2023-08-04 | 2023-11-17 | -12.58 | 106 |
2024-07-17 | 2024-08-02 | -7.38 | 17 |
2024-06-18 | 2024-06-28 | -4.24 | 11 |
2024-07-11 | 2024-07-12 | -2.32 | 2 |
2023-12-11 | 2023-12-12 | -1.29 | 2 |
2023-11-21 | 2023-12-04 | -1.09 | 14 |
2024-06-14 | 2024-06-14 | -0.82 | 1 |
2023-12-06 | 2023-12-06 | -0.57 | 1 |