Performance Report
Performance Metrics
|
| Time in Market | 87.00% | 99.00% |
| Cumulative Return | 215.56% | 56.71% |
| CAGR | 11.79% | 4.45% |
| Sharpe | 0.73 | 0.32 |
| Prob. Sharpe Ratio | 99.02% | 85.12% |
| Sortino | 1.10 | 0.46 |
| Sortino / √2 | 0.78 | 0.33 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -34.48% | -42.15% |
| Max DD Duration | 2188.00 | 1898.00 |
| Avg Drawdown | -15.82% | -17.00% |
| Recovery Factor | 3.79 | 1.51 |
| Ulcer Index | 0.18 | 0.20 |
| Serenity Index | 0.23 | 0.10 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.06 | 1.03 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.20 | 1.15 |
| CPC Index | 0.63 | 0.55 |
| Tail Ratio | 1.05 | 1.08 |
| Outlier Win Ratio | 4.24 | 3.70 |
| Outlier Loss Ratio | 3.33 | 3.92 |
| MTD | 0.50% | -2.26% |
| 3M | 5.46% | -4.29% |
| 6M | 17.88% | -2.22% |
| YTD | 4.65% | -1.17% |
| 1Y | 13.11% | 3.53% |
| 3Y (ann.) | 27.50% | 9.16% |
| 5Y (ann.) | 17.81% | -0.12% |
| All-time (ann.) | 11.79% | 4.45% |
| Smart Sharpe | 0.72 | 0.32 |
| Smart Sortino | 1.09 | 0.46 |
| Smart Sortino / √2 | 0.77 | 0.33 |
| Volatility (ann.) | 17.42% | 19.00% |
| Calmar | 0.34 | 0.11 |
| Risk-Adjusted Return | 13.55% | 4.50% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Ulcer Performance Index | 11.70 | 2.81 |
| Skew | 0.41 | -0.12 |
| Kurtosis | 4.96 | 6.86 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.92% | 0.85% |
| Avg. Loss | -0.86% | -0.83% |
| Win/Loss Ratio | 1.06 | 1.03 |
| Profit Ratio | 0.58 | 0.94 |
| Win Rate | 51.83% | 50.80% |
| Monthly Win Rate | 57.36% | 56.59% |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.89% | 0.35% |
| Expected Yearly | 11.01% | 4.17% |
| Kelly Criterion | 6.35% | 2.91% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -1.75% | -1.94% |
| Expected Shortfall (cVaR) | -2.48% | -3.00% |
| Max Consecutive Wins | 10.00 | 12.00 |
| Max Consecutive Losses | 7.00 | 7.00 |
| Best Day | 8.49% | 9.41% |
| Worst Day | -5.81% | -8.82% |
| Beta | 0.31 | 1.00 |
| Alpha | 10.36% | 0.00% |
| Correlation | 33.87% | N/A |
| R² | 0.11 | 1.00 |
| Treynor Ratio | 0.38 | 0.04 |
Worst 5 Drawdown Periods
工商银行
| Start | Valley | End | Max DD | Duration |
|---|
| 2018-02-06 | 2018-07-02 | 2024-06-27 | -34.48% | 2333 |
| 2025-11-26 | 2026-02-27 | 2026-07-30 | -15.29% | 246 |
| 2024-08-28 | 2024-09-11 | 2024-12-16 | -15.14% | 110 |
| 2016-01-07 | 2016-02-15 | 2016-07-04 | -11.92% | 179 |
| 2025-07-11 | 2025-09-22 | 2025-10-28 | -9.34% | 109 |
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 |