Performance Report
Performance Metrics
|
| Time in Market | 99.00% | 99.00% |
| Cumulative Return | 824.42% | 56.71% |
| CAGR | 24.13% | 4.46% |
| Sharpe | 0.66 | 0.32 |
| Prob. Sharpe Ratio | 98.31% | 85.13% |
| Sortino | 1.02 | 0.46 |
| Sortino / √2 | 0.72 | 0.33 |
| Omega | 1.13 | 1.06 |
| Max Drawdown | -75.27% | -42.15% |
| Max DD Duration | 961.00 | 1898.00 |
| Avg Drawdown | -33.03% | -17.01% |
| Recovery Factor | 5.17 | 1.51 |
| Ulcer Index | 0.37 | 0.20 |
| Serenity Index | 0.57 | 0.10 |
| Gain/Pain Ratio | 0.13 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.17 | 1.03 |
| Profit Factor | 1.13 | 1.06 |
| Common Sense Ratio | 1.36 | 1.15 |
| CPC Index | 0.65 | 0.55 |
| Tail Ratio | 1.21 | 1.08 |
| Outlier Win Ratio | 3.78 | 3.70 |
| Outlier Loss Ratio | 4.16 | 3.92 |
| MTD | -7.76% | -2.26% |
| 3M | -41.21% | -4.29% |
| 6M | -45.67% | -2.22% |
| YTD | -50.42% | -1.17% |
| 1Y | -33.46% | 3.53% |
| 3Y (ann.) | 10.03% | 9.16% |
| 5Y (ann.) | -3.13% | -0.12% |
| All-time (ann.) | 24.13% | 4.46% |
| Smart Sharpe | 0.66 | 0.32 |
| Smart Sortino | 1.01 | 0.46 |
| Smart Sortino / √2 | 0.72 | 0.33 |
| Volatility (ann.) | 57.15% | 19.01% |
| Calmar | 0.32 | 0.11 |
| Risk-Adjusted Return | 24.37% | 4.51% |
| Risk-Return Ratio | 0.04 | 0.02 |
| Ulcer Performance Index | 22.50 | 2.80 |
| Skew | 0.44 | -0.12 |
| Kurtosis | 4.25 | 6.85 |
| Avg. Return | 0.15% | 0.02% |
| Avg. Win | 2.76% | 0.85% |
| Avg. Loss | -2.36% | -0.83% |
| Win/Loss Ratio | 1.17 | 1.03 |
| Profit Ratio | 1.13 | 0.94 |
| Win Rate | 49.14% | 50.82% |
| Monthly Win Rate | 48.06% | 56.59% |
| Expected Daily | 0.09% | 0.02% |
| Expected Monthly | 1.74% | 0.35% |
| Expected Yearly | 22.41% | 4.17% |
| Kelly Criterion | 5.53% | 2.91% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -5.77% | -1.95% |
| Expected Shortfall (cVaR) | -8.47% | -3.00% |
| Max Consecutive Wins | 8.00 | 12.00 |
| Max Consecutive Losses | 12.00 | 7.00 |
| Best Day | 20.04% | 9.41% |
| Worst Day | -19.99% | -8.82% |
| Beta | 1.36 | 1.00 |
| Alpha | 28.33% | 0.00% |
| Correlation | 45.11% | N/A |
| R² | 0.20 | 1.00 |
| Treynor Ratio | 0.18 | 0.04 |
Worst 5 Drawdown Periods
阳光电源
| Start | Valley | End | Max DD | Duration |
|---|
| 2017-11-14 | 2018-10-18 | 2020-08-10 | -75.27% | 1000 |
| 2021-10-28 | 2022-04-26 | 2025-09-05 | -66.61% | 1408 |
| 2025-11-07 | 2026-09-11 | — | -58.71% | 309 |
| 2021-02-18 | 2021-03-25 | 2021-07-13 | -47.29% | 145 |
| 2016-07-08 | 2017-05-15 | 2017-09-12 | -37.08% | 431 |
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 |