Performance Report
Performance Metrics
|
| Time in Market | 95.00% | 99.00% |
| Cumulative Return | 118.49% | 56.71% |
| CAGR | 7.88% | 4.45% |
| Sharpe | 0.45 | 0.32 |
| Prob. Sharpe Ratio | 92.65% | 85.12% |
| Sortino | 0.66 | 0.46 |
| Sortino / √2 | 0.47 | 0.33 |
| Omega | 1.08 | 1.06 |
| Max Drawdown | -30.15% | -42.15% |
| Max DD Duration | 779.00 | 1898.00 |
| Avg Drawdown | -12.28% | -17.00% |
| Recovery Factor | 3.44 | 1.51 |
| Ulcer Index | 0.14 | 0.20 |
| Serenity Index | 0.38 | 0.10 |
| Gain/Pain Ratio | 0.08 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.07 | 1.03 |
| Profit Factor | 1.08 | 1.06 |
| Common Sense Ratio | 1.17 | 1.15 |
| CPC Index | 0.58 | 0.55 |
| Tail Ratio | 1.08 | 1.08 |
| Outlier Win Ratio | 3.94 | 3.70 |
| Outlier Loss Ratio | 3.82 | 3.92 |
| MTD | 2.57% | -2.26% |
| 3M | 8.65% | -4.29% |
| 6M | 4.18% | -2.22% |
| YTD | 18.41% | -1.17% |
| 1Y | 11.54% | 3.53% |
| 3Y (ann.) | 5.32% | 9.16% |
| 5Y (ann.) | 8.10% | -0.12% |
| All-time (ann.) | 7.88% | 4.45% |
| Smart Sharpe | 0.41 | 0.32 |
| Smart Sortino | 0.60 | 0.46 |
| Smart Sortino / √2 | 0.43 | 0.33 |
| Volatility (ann.) | 22.27% | 19.00% |
| Calmar | 0.26 | 0.11 |
| Risk-Adjusted Return | 8.29% | 4.50% |
| Risk-Return Ratio | 0.03 | 0.02 |
| Ulcer Performance Index | 8.31 | 2.81 |
| Skew | 0.09 | -0.12 |
| Kurtosis | 4.51 | 6.86 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 1.09% | 0.85% |
| Avg. Loss | -1.02% | -0.83% |
| Win/Loss Ratio | 1.07 | 1.03 |
| Profit Ratio | 0.86 | 0.94 |
| Win Rate | 50.32% | 50.80% |
| Monthly Win Rate | 57.36% | 56.59% |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.61% | 0.35% |
| Expected Yearly | 7.36% | 4.17% |
| Kelly Criterion | 3.87% | 2.91% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -2.27% | -1.94% |
| Expected Shortfall (cVaR) | -3.43% | -3.00% |
| Max Consecutive Wins | 8.00 | 12.00 |
| Max Consecutive Losses | 8.00 | 7.00 |
| Best Day | 9.54% | 9.41% |
| Worst Day | -8.13% | -8.82% |
| Beta | 0.42 | 1.00 |
| Alpha | 7.21% | 0.00% |
| Correlation | 35.71% | N/A |
| R² | 0.13 | 1.00 |
| Treynor Ratio | 0.19 | 0.04 |
Worst 5 Drawdown Periods
川投能源
| Start | Valley | End | Max DD | Duration |
|---|
| 2024-07-25 | 2026-01-28 | — | -30.15% | 779 |
| 2021-09-29 | 2022-03-15 | 2023-04-17 | -28.24% | 565 |
| 2016-01-07 | 2016-01-28 | 2017-07-20 | -27.81% | 560 |
| 2017-11-23 | 2018-10-18 | 2019-08-28 | -23.74% | 643 |
| 2019-10-15 | 2020-02-03 | 2020-08-10 | -17.53% | 300 |
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 |