Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 100.0% |
Cumulative Return | 578.23% |
CAGR﹪ | 101.26% |
Sharpe | 1.28 |
Prob. Sharpe Ratio | 99.45% |
Smart Sharpe | 1.26 |
Sortino | 1.91 |
Smart Sortino | 1.88 |
Sortino/√2 | 1.35 |
Smart Sortino/√2 | 1.33 |
Omega | 1.2 |
Max Drawdown | -46.67% |
Longest DD Days | 262 |
Volatility (ann.) | 46.01% |
Calmar | 2.17 |
Skew | -0.09 |
Kurtosis | -1.21 |
Expected Daily | 0.19% |
Expected Monthly | 5.97% |
Expected Yearly | 89.29% |
Kelly Criterion | 9.11% |
Risk of Ruin | 0.0% |
Daily Value-at-Risk | -4.53% |
Expected Shortfall (cVaR) | -4.53% |
Max Consecutive Wins | 8 |
Max Consecutive Losses | 10 |
Gain/Pain Ratio | 0.2 |
Gain/Pain (1M) | 1.77 |
Payoff Ratio | 1.04 |
Profit Factor | 1.2 |
Common Sense Ratio | 1.27 |
CPC Index | 0.67 |
Tail Ratio | 1.05 |
Outlier Win Ratio | 1.92 |
Outlier Loss Ratio | 1.98 |
MTD | 24.56% |
3M | 38.58% |
6M | 84.62% |
YTD | 46.33% |
1Y | 157.72% |
3Y (ann.) | 101.26% |
5Y (ann.) | 101.26% |
10Y (ann.) | 101.26% |
All-time (ann.) | 101.26% |
Best Day | 5.0% |
Worst Day | -5.0% |
Best Month | 43.06% |
Worst Month | -25.98% |
Best Year | 249.42% |
Worst Year | 32.65% |
Avg. Drawdown | -9.07% |
Avg. Drawdown Days | 24 |
Recovery Factor | 12.39 |
Ulcer Index | 0.2 |
Serenity Index | 2.36 |
Avg. Up Month | 17.07% |
Avg. Down Month | -12.08% |
Win Days | 53.7% |
Win Month | 66.67% |
Win Quarter | 72.73% |
Win Year | 100.0% |
Year | Return | Cumulative |
---|---|---|
2020 | 140.72% | 249.42% |
2021 | 43.64% | 32.65% |
2022 | 49.21% | 46.33% |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-03-13 | 2021-11-30 | -46.67 | 262 |
2021-12-18 | 2022-05-14 | -41.55 | 147 |
2020-03-28 | 2020-06-18 | -33.51 | 82 |
2022-05-22 | 2022-09-21 | -26.29 | 122 |
2020-09-25 | 2020-10-23 | -17.28 | 28 |
2020-07-26 | 2020-08-29 | -16.66 | 34 |
2020-10-24 | 2020-12-05 | -15.70 | 42 |
2020-12-19 | 2021-02-01 | -13.80 | 44 |
2020-03-07 | 2020-03-19 | -10.26 | 12 |
2021-02-07 | 2021-02-21 | -10.16 | 14 |