Performance Report
Performance Metrics
|
| Time in Market | 97.00% | 99.00% |
| Cumulative Return | 132.93% | 56.71% |
| CAGR | 8.55% | 4.46% |
| Sharpe | 0.41 | 0.32 |
| Prob. Sharpe Ratio | 90.55% | 85.12% |
| Sortino | 0.62 | 0.46 |
| Sortino / √2 | 0.44 | 0.33 |
| Omega | 1.08 | 1.06 |
| Max Drawdown | -67.66% | -42.15% |
| Max DD Duration | 2039.00 | 1898.00 |
| Avg Drawdown | -29.08% | -17.00% |
| Recovery Factor | 2.16 | 1.51 |
| Ulcer Index | 0.35 | 0.20 |
| Serenity Index | 0.14 | 0.10 |
| Gain/Pain Ratio | 0.08 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.08 | 1.03 |
| Profit Factor | 1.08 | 1.06 |
| Common Sense Ratio | 1.21 | 1.15 |
| CPC Index | 0.58 | 0.55 |
| Tail Ratio | 1.13 | 1.08 |
| Outlier Win Ratio | 4.19 | 3.69 |
| Outlier Loss Ratio | 3.70 | 3.92 |
| MTD | -10.47% | -2.26% |
| 3M | -11.25% | -4.29% |
| 6M | -5.43% | -2.22% |
| YTD | -13.49% | -1.17% |
| 1Y | -1.62% | 3.53% |
| 3Y (ann.) | 36.31% | 9.16% |
| 5Y (ann.) | 26.34% | -0.12% |
| All-time (ann.) | 8.55% | 4.46% |
| Smart Sharpe | 0.40 | 0.32 |
| Smart Sortino | 0.60 | 0.46 |
| Smart Sortino / √2 | 0.42 | 0.33 |
| Volatility (ann.) | 34.64% | 19.01% |
| Calmar | 0.13 | 0.11 |
| Risk-Adjusted Return | 8.82% | 4.50% |
| Risk-Return Ratio | 0.03 | 0.02 |
| Ulcer Performance Index | 3.83 | 2.81 |
| Skew | 0.41 | -0.12 |
| Kurtosis | 3.20 | 6.85 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 1.67% | 0.85% |
| Avg. Loss | -1.54% | -0.83% |
| Win/Loss Ratio | 1.08 | 1.03 |
| Profit Ratio | 0.95 | 0.94 |
| Win Rate | 49.88% | 50.78% |
| Monthly Win Rate | 53.49% | 56.59% |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.66% | 0.35% |
| Expected Yearly | 7.99% | 4.17% |
| Kelly Criterion | 3.49% | 2.91% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -3.53% | -1.94% |
| Expected Shortfall (cVaR) | -5.05% | -3.00% |
| Max Consecutive Wins | 7.00 | 12.00 |
| Max Consecutive Losses | 8.00 | 7.00 |
| Best Day | 10.11% | 9.41% |
| Worst Day | -10.03% | -8.82% |
| Beta | 0.71 | 1.00 |
| Alpha | 9.44% | 0.00% |
| Correlation | 38.90% | N/A |
| R² | 0.15 | 1.00 |
| Treynor Ratio | 0.12 | 0.04 |
Worst 5 Drawdown Periods
宇通客车
| Start | Valley | End | Max DD | Duration |
|---|
| 2017-11-14 | 2022-04-28 | 2024-03-18 | -67.66% | 2316 |
| 2026-04-03 | 2026-06-18 | — | -27.79% | 162 |
| 2024-05-15 | 2024-08-07 | 2025-01-06 | -27.53% | 236 |
| 2016-07-29 | 2017-01-12 | 2017-07-21 | -17.63% | 357 |
| 2016-01-07 | 2016-02-01 | 2016-05-16 | -16.93% | 130 |
bench
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-02-18 | 2024-02-02 | — | -42.15% | 2032 |
| 2018-01-25 | 2019-01-02 | 2020-07-01 | -31.28% | 888 |
| 2016-01-07 | 2016-01-28 | 2016-11-22 | -19.18% | 320 |
| 2016-12-02 | 2016-12-28 | 2017-06-09 | -7.64% | 189 |
| 2020-07-14 | 2020-07-24 | 2020-08-28 | -6.79% | 45 |