Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 1,174.49% | 501.42% |
CAGR﹪ | 10.93% | 7.58% |
Sharpe | 1.23 | 0.47 |
Smart Sharpe | 1.1 | 0.42 |
Sortino | 1.73 | 0.67 |
Smart Sortino | 1.55 | 0.6 |
Sortino/√2 | 1.22 | 0.48 |
Smart Sortino/√2 | 1.09 | 0.43 |
Omega | 1.24 | 1.24 |
Max Drawdown | -16.83% | -55.19% |
Longest DD Days | 735 | 2404 |
Volatility (ann.) | 8.85% | 19.56% |
R^2 | 0.23 | 0.23 |
Calmar | 0.65 | 0.14 |
Skew | -0.52 | 0.03 |
Kurtosis | 4.02 | 10.72 |
Expected Daily % | 0.04% | 0.03% |
Expected Monthly % | 0.87% | 0.61% |
Expected Yearly % | 10.72% | 7.44% |
Kelly Criterion | 8.86% | 1.44% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.87% | -1.99% |
Expected Shortfall (cVaR) | -0.87% | -1.99% |
Gain/Pain Ratio | 0.24 | 0.09 |
Gain/Pain (1M) | 1.4 | 0.56 |
Payoff Ratio | 0.91 | 0.86 |
Profit Factor | 1.24 | 1.09 |
Common Sense Ratio | 1.2 | 1.0 |
CPC Index | 0.64 | 0.51 |
Tail Ratio | 0.97 | 0.91 |
Outlier Win Ratio | 6.16 | 3.04 |
Outlier Loss Ratio | 6.32 | 2.98 |
MTD | -0.11% | 0.42% |
3M | -4.66% | -13.51% |
6M | -7.41% | -18.02% |
YTD | -9.65% | -19.65% |
1Y | -13.13% | -12.09% |
3Y (ann.) | 6.66% | 9.79% |
5Y (ann.) | 6.7% | 11.07% |
10Y (ann.) | 7.41% | 12.93% |
All-time (ann.) | 10.93% | 7.58% |
Best Day | 4.28% | 14.52% |
Worst Day | -3.86% | -10.94% |
Best Month | 14.25% | 12.7% |
Worst Month | -10.16% | -16.52% |
Best Year | 50.21% | 32.31% |
Worst Year | -9.65% | -36.79% |
Avg. Drawdown | -1.62% | -2.05% |
Avg. Drawdown Days | 28 | 29 |
Recovery Factor | 69.8 | 9.09 |
Ulcer Index | 0.06 | 0.16 |
Serenity Index | 11.08 | 1.21 |
Avg. Up Month | 2.59% | 3.32% |
Avg. Down Month | -2.33% | -4.17% |
Win Days % | 56.57% | 54.34% |
Win Month % | 65.42% | 62.71% |
Win Quarter % | 66.67% | 70.71% |
Win Year % | 84.0% | 76.0% |
Beta | 0.22 | - |
Alpha | 0.09 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
1998 | 28.03 | 3.60 | 0.13 | - |
1999 | 20.39 | 50.21 | 2.46 | + |
2000 | -9.74 | 3.37 | -0.35 | + |
2001 | -11.76 | 2.76 | -0.23 | + |
2002 | -21.58 | 3.30 | -0.15 | + |
2003 | 28.18 | 40.89 | 1.45 | + |
2004 | 10.70 | 18.16 | 1.70 | + |
2005 | 4.83 | 10.37 | 2.15 | + |
2006 | 15.85 | 25.58 | 1.61 | + |
2007 | 5.15 | 14.03 | 2.73 | + |
2008 | -36.79 | -8.92 | 0.24 | + |
2009 | 26.35 | 33.54 | 1.27 | + |
2010 | 15.06 | 12.71 | 0.84 | - |
2011 | 1.89 | -0.37 | -0.20 | - |
2012 | 15.99 | 11.74 | 0.73 | - |
2013 | 32.31 | 15.65 | 0.48 | - |
2014 | 13.46 | 6.37 | 0.47 | - |
2015 | 1.23 | -3.88 | -3.15 | - |
2016 | 12.00 | 3.92 | 0.33 | - |
2017 | 21.71 | 18.54 | 0.85 | - |
2018 | -4.57 | 0.92 | -0.20 | + |
2019 | 31.22 | 9.40 | 0.30 | - |
2020 | 18.33 | 20.70 | 1.13 | + |
2021 | 28.73 | 5.99 | 0.21 | - |
2022 | -19.65 | -9.65 | 0.49 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2007-11-01 | 2009-07-24 | -16.83 | 631 |
2021-09-07 | 2022-07-13 | -15.50 | 309 |
2020-01-21 | 2020-07-06 | -13.98 | 167 |
2000-03-13 | 2002-03-18 | -13.90 | 735 |
1998-07-21 | 1999-05-06 | -13.03 | 289 |
2006-05-11 | 2006-10-24 | -12.67 | 166 |
2015-04-28 | 2016-08-11 | -12.49 | 471 |
2011-05-02 | 2012-05-01 | -12.45 | 365 |
2007-07-24 | 2007-10-01 | -10.67 | 69 |
2010-04-27 | 2010-10-05 | -10.61 | 161 |