Performance Report
Performance Metrics
|
| Time in Market | 100.00% | 99.00% |
| Cumulative Return | 1161.38% | 36.77% |
| CAGR | 37.00% | 3.97% |
| Sharpe | 0.90 | 0.30 |
| Prob. Sharpe Ratio | 99.46% | 79.98% |
| Sortino | 1.38 | 0.43 |
| Sortino / √2 | 0.97 | 0.30 |
| Omega | 1.17 | 1.05 |
| Max Drawdown | -77.09% | -42.15% |
| Max DD Duration | 1502.00 | 1898.00 |
| Avg Drawdown | -37.92% | -18.49% |
| Recovery Factor | 4.47 | 1.11 |
| Ulcer Index | 0.43 | 0.22 |
| Serenity Index | 0.33 | 0.07 |
| Gain/Pain Ratio | 0.17 | 0.05 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.13 | 1.05 |
| Profit Factor | 1.17 | 1.05 |
| Common Sense Ratio | 1.42 | 1.18 |
| CPC Index | 0.67 | 0.56 |
| Tail Ratio | 1.21 | 1.12 |
| Outlier Win Ratio | 4.41 | 3.58 |
| Outlier Loss Ratio | 4.08 | 3.85 |
| MTD | -1.97% | -2.26% |
| 3M | 56.37% | -4.29% |
| 6M | 63.73% | -2.22% |
| YTD | 70.07% | -1.17% |
| 1Y | 44.23% | 3.53% |
| 3Y (ann.) | 29.83% | 9.16% |
| 5Y (ann.) | 3.34% | -0.12% |
| All-time (ann.) | 37.00% | 3.97% |
| Smart Sharpe | 0.82 | 0.30 |
| Smart Sortino | 1.25 | 0.43 |
| Smart Sortino / √2 | 0.89 | 0.30 |
| Volatility (ann.) | 47.60% | 19.62% |
| Calmar | 0.48 | 0.09 |
| Risk-Adjusted Return | 37.00% | 4.01% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Ulcer Performance Index | 27.32 | 1.70 |
| Skew | 0.25 | 0.03 |
| Kurtosis | 1.93 | 6.79 |
| Avg. Return | 0.17% | 0.02% |
| Avg. Win | 2.30% | 0.90% |
| Avg. Loss | -2.04% | -0.85% |
| Win/Loss Ratio | 1.13 | 1.05 |
| Profit Ratio | 1.06 | 1.00 |
| Win Rate | 50.92% | 50.00% |
| Monthly Win Rate | 53.47% | 54.46% |
| Expected Daily | 0.13% | 0.02% |
| Expected Monthly | 2.54% | 0.31% |
| Expected Yearly | 32.53% | 3.54% |
| Kelly Criterion | 7.44% | 2.60% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -4.76% | -2.01% |
| Expected Shortfall (cVaR) | -6.96% | -3.05% |
| Max Consecutive Wins | 15.00 | 12.00 |
| Max Consecutive Losses | 8.00 | 7.00 |
| Best Day | 10.05% | 9.41% |
| Worst Day | -10.00% | -8.82% |
| Beta | 1.21 | 1.00 |
| Alpha | 34.45% | 0.00% |
| Correlation | 49.85% | N/A |
| R² | 0.25 | 1.00 |
| Treynor Ratio | 0.31 | 0.04 |
Worst 5 Drawdown Periods
药明康德
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-07-02 | 2024-07-08 | 2026-08-07 | -77.09% | 1862 |
| 2018-06-04 | 2019-01-08 | 2019-11-01 | -46.15% | 515 |
| 2021-02-18 | 2021-03-23 | 2021-06-25 | -33.35% | 127 |
| 2020-02-26 | 2020-03-23 | 2020-06-16 | -26.21% | 111 |
| 2020-08-06 | 2020-09-22 | 2020-11-09 | -18.77% | 95 |
bench
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-02-18 | 2024-02-02 | — | -42.15% | 2032 |
| 2018-05-16 | 2019-01-02 | 2019-03-18 | -23.06% | 306 |
| 2020-01-14 | 2020-03-23 | 2020-07-01 | -16.10% | 169 |
| 2019-04-22 | 2019-06-06 | 2019-12-30 | -13.39% | 252 |
| 2020-07-14 | 2020-07-24 | 2020-08-28 | -6.79% | 45 |