Performance Report
Performance Metrics
|
| Time in Market | 99.00% | 99.00% |
| Cumulative Return | 210.75% | 56.71% |
| CAGR | 11.63% | 4.46% |
| Sharpe | 0.49 | 0.32 |
| Prob. Sharpe Ratio | 94.18% | 85.12% |
| Sortino | 0.73 | 0.46 |
| Sortino / √2 | 0.52 | 0.33 |
| Omega | 1.09 | 1.06 |
| Max Drawdown | -60.38% | -42.15% |
| Max DD Duration | 1877.00 | 1898.00 |
| Avg Drawdown | -30.64% | -17.01% |
| Recovery Factor | 2.92 | 1.51 |
| Ulcer Index | 0.35 | 0.20 |
| Serenity Index | N/A | 0.10 |
| Gain/Pain Ratio | 0.09 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.07 | 1.03 |
| Profit Factor | 1.09 | 1.06 |
| Common Sense Ratio | 1.32 | 1.15 |
| CPC Index | 0.59 | 0.55 |
| Tail Ratio | 1.22 | 1.08 |
| Outlier Win Ratio | 3.66 | 3.69 |
| Outlier Loss Ratio | 3.69 | 3.92 |
| MTD | -7.10% | -2.26% |
| 3M | 11.17% | -4.29% |
| 6M | 10.32% | -2.22% |
| YTD | 15.81% | -1.17% |
| 1Y | 15.77% | 3.53% |
| 3Y (ann.) | 2.81% | 9.16% |
| 5Y (ann.) | -6.63% | -0.12% |
| All-time (ann.) | 11.63% | 4.46% |
| Smart Sharpe | 0.48 | 0.32 |
| Smart Sortino | 0.72 | 0.46 |
| Smart Sortino / √2 | 0.51 | 0.33 |
| Volatility (ann.) | 34.94% | 19.01% |
| Calmar | 0.19 | 0.11 |
| Risk-Adjusted Return | 11.75% | 4.50% |
| Risk-Return Ratio | 0.03 | 0.02 |
| Ulcer Performance Index | 5.98 | 2.81 |
| Skew | 0.20 | -0.12 |
| Kurtosis | 2.39 | 6.84 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 1.68% | 0.85% |
| Avg. Loss | -1.57% | -0.83% |
| Win/Loss Ratio | 1.07 | 1.03 |
| Profit Ratio | 0.99 | 0.95 |
| Win Rate | 50.49% | 50.76% |
| Monthly Win Rate | 55.81% | 56.59% |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.88% | 0.35% |
| Expected Yearly | 10.86% | 4.17% |
| Kelly Criterion | 4.11% | 2.90% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -3.55% | -1.95% |
| Expected Shortfall (cVaR) | -5.10% | -3.00% |
| Max Consecutive Wins | 13.00 | 12.00 |
| Max Consecutive Losses | 10.00 | 7.00 |
| Best Day | 10.05% | 9.41% |
| Worst Day | -10.01% | -8.82% |
| Beta | 1.15 | 1.00 |
| Alpha | 9.63% | 0.00% |
| Correlation | 62.61% | N/A |
| R² | 0.39 | 1.00 |
| Treynor Ratio | 0.10 | 0.04 |
Worst 5 Drawdown Periods
海康威视
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-01-28 | 2024-09-13 | — | -60.38% | 2053 |
| 2018-03-02 | 2018-10-30 | 2020-10-26 | -46.07% | 969 |
| 2016-01-07 | 2016-01-26 | 2016-05-16 | -25.58% | 130 |
| 2017-11-14 | 2018-02-07 | 2018-03-01 | -15.36% | 107 |
| 2016-08-18 | 2016-12-22 | 2017-02-08 | -13.52% | 174 |
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 |