Performance Report
Performance Metrics
|
| Time in Market | 99.00% | 99.00% |
| Cumulative Return | 305.15% | 56.71% |
| CAGR | 14.60% | 4.47% |
| Sharpe | 0.54 | 0.33 |
| Prob. Sharpe Ratio | 95.85% | 85.11% |
| Sortino | 0.82 | 0.47 |
| Sortino / √2 | 0.58 | 0.33 |
| Omega | 1.10 | 1.06 |
| Max Drawdown | -53.58% | -42.15% |
| Max DD Duration | 1153.00 | 1898.00 |
| Avg Drawdown | -20.40% | -17.03% |
| Recovery Factor | 4.09 | 1.51 |
| Ulcer Index | 0.23 | 0.20 |
| Serenity Index | 0.53 | 0.10 |
| Gain/Pain Ratio | 0.10 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.10 | 1.03 |
| Profit Factor | 1.10 | 1.06 |
| Common Sense Ratio | 1.21 | 1.15 |
| CPC Index | 0.60 | 0.55 |
| Tail Ratio | 1.10 | 1.08 |
| Outlier Win Ratio | 3.72 | 3.69 |
| Outlier Loss Ratio | 3.52 | 3.93 |
| MTD | -13.50% | -2.26% |
| 3M | -23.65% | -4.29% |
| 6M | -24.16% | -2.22% |
| YTD | -28.48% | -1.17% |
| 1Y | -32.25% | 3.53% |
| 3Y (ann.) | -8.27% | 9.16% |
| 5Y (ann.) | -4.84% | -0.12% |
| All-time (ann.) | 14.60% | 4.47% |
| Smart Sharpe | 0.54 | 0.32 |
| Smart Sortino | 0.82 | 0.46 |
| Smart Sortino / √2 | 0.58 | 0.33 |
| Volatility (ann.) | 39.48% | 19.05% |
| Calmar | 0.27 | 0.11 |
| Risk-Adjusted Return | 14.75% | 4.52% |
| Risk-Return Ratio | 0.03 | 0.02 |
| Ulcer Performance Index | 13.26 | 2.80 |
| Skew | 0.56 | -0.08 |
| Kurtosis | 5.75 | 7.01 |
| Avg. Return | 0.09% | 0.02% |
| Avg. Win | 1.88% | 0.85% |
| Avg. Loss | -1.72% | -0.83% |
| Win/Loss Ratio | 1.10 | 1.03 |
| Profit Ratio | 1.01 | 0.94 |
| Win Rate | 50.08% | 50.78% |
| Monthly Win Rate | 53.49% | 56.59% |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.09% | 0.35% |
| Expected Yearly | 13.56% | 4.17% |
| Kelly Criterion | 4.59% | 2.92% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -4.01% | -1.95% |
| Expected Shortfall (cVaR) | -5.69% | -3.00% |
| Max Consecutive Wins | 10.00 | 12.00 |
| Max Consecutive Losses | 9.00 | 7.00 |
| Best Day | 20.00% | 9.41% |
| Worst Day | -13.54% | -8.82% |
| Beta | 1.18 | 1.00 |
| Alpha | 13.49% | 0.00% |
| Correlation | 56.98% | N/A |
| R² | 0.32 | 1.00 |
| Treynor Ratio | 0.12 | 0.04 |
Worst 5 Drawdown Periods
汇川技术
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-08-05 | 2024-08-23 | 2025-09-24 | -53.58% | 1511 |
| 2018-03-21 | 2018-12-27 | 2020-05-12 | -43.54% | 783 |
| 2025-10-10 | 2026-09-11 | — | -39.40% | 337 |
| 2021-02-19 | 2021-04-13 | 2021-07-01 | -33.66% | 132 |
| 2016-01-07 | 2016-02-29 | 2016-11-16 | -24.44% | 314 |
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 |