Performance Report
Performance Metrics
|
| Time in Market | 100.00% | 99.00% |
| Cumulative Return | 1687.51% | 39.82% |
| CAGR | 43.68% | 4.30% |
| Sharpe | 1.01 | 0.31 |
| Prob. Sharpe Ratio | 99.79% | 81.10% |
| Sortino | 1.65 | 0.45 |
| Sortino / √2 | 1.16 | 0.32 |
| Omega | 1.20 | 1.06 |
| Max Drawdown | -62.88% | -42.15% |
| Max DD Duration | 1033.00 | 1898.00 |
| Avg Drawdown | -24.80% | -18.52% |
| Recovery Factor | 5.92 | 1.16 |
| Ulcer Index | 0.29 | 0.22 |
| Serenity Index | 0.68 | 0.07 |
| Gain/Pain Ratio | 0.20 | 0.06 |
| Gain/Pain (1M) | N/A | N/A |
| Payoff Ratio | 1.28 | 1.05 |
| Profit Factor | 1.20 | 1.06 |
| Common Sense Ratio | 1.58 | 1.18 |
| CPC Index | 0.74 | 0.56 |
| Tail Ratio | 1.32 | 1.12 |
| Outlier Win Ratio | 4.27 | 3.58 |
| Outlier Loss Ratio | 3.74 | 3.86 |
| MTD | -9.09% | -2.26% |
| 3M | -14.62% | -4.29% |
| 6M | -10.46% | -2.22% |
| YTD | -8.25% | -1.17% |
| 1Y | 6.62% | 3.53% |
| 3Y (ann.) | 17.49% | 9.16% |
| 5Y (ann.) | 5.33% | -0.12% |
| All-time (ann.) | 43.68% | 4.30% |
| Smart Sharpe | 0.99 | 0.31 |
| Smart Sortino | 1.61 | 0.45 |
| Smart Sortino / √2 | 1.14 | 0.32 |
| Volatility (ann.) | 46.16% | 19.67% |
| Calmar | 0.69 | 0.10 |
| Risk-Adjusted Return | 43.68% | 4.35% |
| Risk-Return Ratio | 0.06 | 0.02 |
| Ulcer Performance Index | 58.73 | 1.84 |
| Skew | 0.63 | 0.02 |
| Kurtosis | 3.06 | 6.79 |
| Avg. Return | 0.19% | 0.02% |
| Avg. Win | 2.35% | 0.90% |
| Avg. Loss | -1.84% | -0.85% |
| Win/Loss Ratio | 1.28 | 1.05 |
| Profit Ratio | 1.35 | 1.00 |
| Win Rate | 48.30% | 50.10% |
| Monthly Win Rate | 52.00% | 55.00% |
| Expected Daily | 0.14% | 0.02% |
| Expected Monthly | 2.93% | 0.34% |
| Expected Yearly | 37.76% | 3.79% |
| Kelly Criterion | 7.92% | 2.75% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily VaR | -4.60% | -2.01% |
| Expected Shortfall (cVaR) | -6.42% | -3.05% |
| Max Consecutive Wins | 9.00 | 12.00 |
| Max Consecutive Losses | 9.00 | 7.00 |
| Best Day | 18.70% | 9.41% |
| Worst Day | -14.71% | -8.82% |
| Beta | 1.27 | 1.00 |
| Alpha | 37.54% | 0.00% |
| Correlation | 54.24% | N/A |
| R² | 0.29 | 1.00 |
| Treynor Ratio | 0.34 | 0.04 |
Worst 5 Drawdown Periods
宁德时代
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-12-03 | 2024-01-30 | 2025-09-17 | -62.88% | 1384 |
| 2020-02-07 | 2020-03-23 | 2020-06-24 | -36.73% | 138 |
| 2018-07-25 | 2018-10-11 | 2019-03-04 | -34.13% | 222 |
| 2021-01-08 | 2021-03-24 | 2021-05-31 | -30.11% | 143 |
| 2026-05-07 | 2026-09-11 | — | -27.89% | 128 |
bench
| Start | Valley | End | Max DD | Duration |
|---|
| 2021-02-18 | 2024-02-02 | — | -42.15% | 2032 |
| 2018-06-13 | 2019-01-02 | 2019-02-25 | -21.31% | 257 |
| 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 |