Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 100.0% |
Cumulative Return | 579.03% |
CAGR﹪ | 20.8% |
Sharpe | 0.62 |
Prob. Sharpe Ratio | 97.52% |
Smart Sharpe | 0.59 |
Sortino | 0.9 |
Smart Sortino | 0.86 |
Sortino/√2 | 0.64 |
Smart Sortino/√2 | 0.61 |
Omega | 1.12 |
Max Drawdown | -81.53% |
Longest DD Days | 1045 |
Volatility (ann.) | 55.99% |
Calmar | 0.26 |
Skew | -0.32 |
Kurtosis | 7.84 |
Expected Daily | 0.07% |
Expected Monthly | 2.31% |
Expected Yearly | 31.47% |
Kelly Criterion | 5.67% |
Risk of Ruin | 0.0% |
Daily Value-at-Risk | -5.66% |
Expected Shortfall (cVaR) | -5.66% |
Max Consecutive Wins | 10 |
Max Consecutive Losses | 8 |
Gain/Pain Ratio | 0.12 |
Gain/Pain (1M) | 0.72 |
Payoff Ratio | 1.07 |
Profit Factor | 1.12 |
Common Sense Ratio | 1.15 |
CPC Index | 0.61 |
Tail Ratio | 1.02 |
Outlier Win Ratio | 4.27 |
Outlier Loss Ratio | 4.36 |
MTD | -3.85% |
3M | 41.29% |
6M | 52.31% |
YTD | 119.42% |
1Y | 120.28% |
3Y (ann.) | 23.4% |
5Y (ann.) | 38.05% |
10Y (ann.) | 20.8% |
All-time (ann.) | 20.8% |
Best Day | 18.75% |
Worst Day | -37.17% |
Best Month | 60.25% |
Worst Month | -37.77% |
Best Year | 303.16% |
Worst Year | -72.6% |
Avg. Drawdown | -13.74% |
Avg. Drawdown Days | 89 |
Recovery Factor | 4.33 |
Ulcer Index | 0.49 |
Serenity Index | 0.31 |
Avg. Up Month | 19.92% |
Avg. Down Month | -12.82% |
Win Days | 51.35% |
Win Month | 52.38% |
Win Quarter | 53.57% |
Win Year | 71.43% |
Year | Return | Cumulative |
---|---|---|
2018 | -96.09% | -72.6% |
2019 | 88.23% | 92.2% |
2020 | 167.7% | 303.16% |
2021 | 79.01% | 59.67% |
2022 | -82.38% | -64.27% |
2023 | 103.31% | 155.42% |
2024 | 92.86% | 119.42% |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2018-01-07 | 2020-11-16 | -81.53 | 1045 |
2021-11-09 | 2024-03-03 | -76.63 | 846 |
2021-04-14 | 2021-10-18 | -53.06 | 188 |
2024-03-14 | 2024-11-05 | -26.18 | 237 |
2021-01-09 | 2021-02-07 | -25.41 | 30 |
2021-02-22 | 2021-03-10 | -21.55 | 17 |
2021-03-14 | 2021-04-12 | -15.58 | 30 |
2024-12-18 | 2024-12-30 | -12.63 | 13 |
2021-10-21 | 2021-11-07 | -11.38 | 18 |
2020-11-25 | 2020-11-29 | -10.46 | 5 |