Performance Report
Performance Metrics
|
| Time in Market | 96.00% | 99.00% |
| Cumulative Return | 221.47% | 56.71% |
| CAGR | 12.08% | 4.48% |
| Sharpe | 0.75 | 0.33 |
| Prob. Sharpe Ratio | 99.20% | 85.11% |
| Sortino | 1.14 | 0.47 |
| Sortino / √2 | 0.81 | 0.33 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -17.55% | -42.15% |
| Max DD Duration | 484.00 | 1898.00 |
| Avg Drawdown | -6.22% | -17.01% |
| Recovery Factor | 7.50 | 1.51 |
| Ulcer Index | 0.07 | 0.20 |
| Serenity Index | 1.44 | 0.10 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.11 | 1.03 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.30 | 1.15 |
| CPC Index | 0.64 | 0.55 |
| Tail Ratio | 1.14 | 1.08 |
| Outlier Win Ratio | 3.83 | 3.70 |
| Outlier Loss Ratio | 3.59 | 3.92 |
| MTD | 1.28% | -2.26% |
| 3M | 5.68% | -4.29% |
| 6M | 7.81% | -2.22% |
| YTD | 8.50% | -1.17% |
| 1Y | 5.33% | 3.53% |
| 3Y (ann.) | 13.25% | 9.16% |
| 5Y (ann.) | 11.07% | -0.12% |
| All-time (ann.) | 12.08% | 4.48% |
| Smart Sharpe | 0.70 | 0.32 |
| Smart Sortino | 1.07 | 0.46 |
| Smart Sortino / √2 | 0.76 | 0.33 |
| Volatility (ann.) | 17.07% | 19.09% |
| Calmar | 0.69 | 0.11 |
| Risk-Adjusted Return | 12.58% | 4.53% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Ulcer Performance Index | 31.38 | 2.80 |
| Skew | 0.30 | -0.10 |
| Kurtosis | 2.99 | 6.82 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.86% | 0.86% |
| Avg. Loss | -0.77% | -0.83% |
| Win/Loss Ratio | 1.11 | 1.03 |
| Profit Ratio | 0.90 | 0.94 |
| Win Rate | 50.75% | 50.82% |
| Monthly Win Rate | 59.69% | 56.59% |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.91% | 0.35% |
| Expected Yearly | 11.20% | 4.17% |
| Kelly Criterion | 6.25% | 2.92% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -1.72% | -1.95% |
| Expected Shortfall (cVaR) | -2.41% | -3.00% |
| Max Consecutive Wins | 8.00 | 12.00 |
| Max Consecutive Losses | 8.00 | 7.00 |
| Best Day | 6.78% | 9.41% |
| Worst Day | -5.99% | -8.82% |
| Beta | 0.24 | 1.00 |
| Alpha | 10.91% | 0.00% |
| Correlation | 26.43% | N/A |
| R² | 0.07 | 1.00 |
| Treynor Ratio | 0.51 | 0.04 |
Worst 5 Drawdown Periods
长江电力
| Start | Valley | End | Max DD | Duration |
|---|
| 2022-08-15 | 2022-11-03 | 2023-12-25 | -17.55% | 497 |
| 2018-06-20 | 2018-12-06 | 2019-03-22 | -16.43% | 275 |
| 2019-08-20 | 2020-03-19 | 2020-07-15 | -16.19% | 330 |
| 2025-06-27 | 2026-01-28 | 2026-07-30 | -15.51% | 398 |
| 2016-01-07 | 2016-02-29 | 2016-07-15 | -13.61% | 190 |
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 |