Performance Report
Performance Metrics
|
| Time in Market | 100.00% | 99.00% |
| Cumulative Return | 598.22% | 56.71% |
| CAGR | 21.90% | 4.68% |
| Sharpe | 0.73 | 0.33 |
| Prob. Sharpe Ratio | 98.85% | 85.28% |
| Sortino | 1.11 | 0.48 |
| Sortino / √2 | 0.79 | 0.34 |
| Omega | 1.13 | 1.06 |
| Max Drawdown | -59.61% | -42.15% |
| Max DD Duration | 2031.00 | 1898.00 |
| Avg Drawdown | -27.04% | -16.90% |
| Recovery Factor | 4.34 | 1.49 |
| Ulcer Index | 0.31 | 0.20 |
| Serenity Index | 0.34 | 0.10 |
| Gain/Pain Ratio | 0.13 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.15 | 1.03 |
| Profit Factor | 1.13 | 1.06 |
| Common Sense Ratio | 1.39 | 1.16 |
| CPC Index | 0.65 | 0.56 |
| Tail Ratio | 1.23 | 1.09 |
| Outlier Win Ratio | 3.90 | 3.72 |
| Outlier Loss Ratio | 3.78 | 4.00 |
| MTD | -1.35% | -2.26% |
| 3M | 10.88% | -4.29% |
| 6M | -13.25% | -2.22% |
| YTD | -0.20% | -1.17% |
| 1Y | 13.31% | 3.53% |
| 3Y (ann.) | -5.78% | 9.16% |
| 5Y (ann.) | -4.63% | -0.12% |
| All-time (ann.) | 21.90% | 4.68% |
| Smart Sharpe | 0.71 | 0.33 |
| Smart Sortino | 1.09 | 0.47 |
| Smart Sortino / √2 | 0.77 | 0.34 |
| Volatility (ann.) | 36.37% | 19.18% |
| Calmar | 0.37 | 0.11 |
| Risk-Adjusted Return | 21.90% | 4.73% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Ulcer Performance Index | 19.46 | 2.80 |
| Skew | 0.31 | -0.15 |
| Kurtosis | 2.21 | 7.08 |
| Avg. Return | 0.11% | 0.03% |
| Avg. Win | 1.80% | 0.85% |
| Avg. Loss | -1.57% | -0.83% |
| Win/Loss Ratio | 1.15 | 1.03 |
| Profit Ratio | 1.13 | 0.94 |
| Win Rate | 49.59% | 50.82% |
| Monthly Win Rate | 58.87% | 57.26% |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.58% | 0.36% |
| Expected Yearly | 19.32% | 4.17% |
| Kelly Criterion | 5.85% | 3.03% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -3.66% | -1.96% |
| Expected Shortfall (cVaR) | -5.27% | -3.06% |
| Max Consecutive Wins | 8.00 | 12.00 |
| Max Consecutive Losses | 10.00 | 7.00 |
| Best Day | 10.02% | 9.41% |
| Worst Day | -10.00% | -8.82% |
| Beta | 1.04 | 1.00 |
| Alpha | 18.11% | 0.00% |
| Correlation | 54.71% | N/A |
| R² | 0.30 | 1.00 |
| Treynor Ratio | 0.21 | 0.05 |
Worst 5 Drawdown Periods
万华化学
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-02-19 | 2025-06-23 | — | -59.61% | 2031 |
| 2018-07-24 | 2018-10-29 | 2019-12-09 | -49.17% | 503 |
| 2020-01-06 | 2020-03-23 | 2020-07-06 | -32.47% | 182 |
| 2016-01-07 | 2016-02-29 | 2016-06-15 | -25.75% | 160 |
| 2017-10-11 | 2017-11-03 | 2018-06-05 | -18.02% | 237 |
bench
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-02-18 | 2024-02-02 | — | -42.15% | 2032 |
| 2017-11-23 | 2019-01-02 | 2020-01-02 | -28.84% | 770 |
| 2016-01-07 | 2016-01-28 | 2016-11-22 | -19.18% | 320 |
| 2020-01-14 | 2020-03-23 | 2020-07-01 | -16.10% | 169 |
| 2016-12-02 | 2016-12-28 | 2017-06-09 | -7.64% | 189 |