Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 74.0% | 77.0% |
Cumulative Return | -32.17% | 15.3% |
CAGR﹪ | -3.84% | 1.45% |
Sharpe | -12.65 | -1439.1 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -12.04 | -1370.06 |
Sortino | -10.58 | -15.87 |
Smart Sortino | -10.07 | -15.11 |
Sortino/√2 | -7.48 | -11.22 |
Smart Sortino/√2 | -7.12 | -10.69 |
Omega | 0.09 | 0.09 |
Max Drawdown | -51.45% | -0.03% |
Longest DD Days | 3609 | 90 |
Volatility (ann.) | 16.7% | 0.14% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.07 | 54.88 |
Skew | -0.49 | 2.67 |
Kurtosis | 28.9 | 9.36 |
Expected Daily | -0.02% | 0.01% |
Expected Monthly | -0.32% | 0.12% |
Expected Yearly | -3.47% | 1.3% |
Kelly Criterion | -22.81% | 83.95% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.74% | -0.01% |
Expected Shortfall (cVaR) | -1.74% | -0.01% |
Max Consecutive Wins | 9 | 262 |
Max Consecutive Losses | 8 | 5 |
Gain/Pain Ratio | -0.03 | 33.18 |
Gain/Pain (1M) | -0.13 | 1201.64 |
Payoff Ratio | 0.65 | 3.05 |
Profit Factor | 0.97 | 34.18 |
Common Sense Ratio | 0.88 | 674.41 |
CPC Index | 0.33 | 91.59 |
Tail Ratio | 0.91 | 19.73 |
Outlier Win Ratio | 3.15 | 215.1 |
Outlier Loss Ratio | 1.97 | 872.65 |
MTD | 0.0% | 0.28% |
3M | 0.0% | 1.33% |
6M | 0.0% | 2.74% |
YTD | 0.0% | 2.05% |
1Y | 0.0% | 5.53% |
3Y (ann.) | -5.03% | 2.98% |
5Y (ann.) | -3.58% | 2.1% |
10Y (ann.) | -3.84% | 1.45% |
All-time (ann.) | -3.84% | 1.45% |
Best Day | 12.14% | 0.07% |
Worst Day | -12.33% | -0.03% |
Best Month | 13.92% | 0.47% |
Worst Month | -17.4% | -0.0% |
Best Year | 30.91% | 5.12% |
Worst Year | -35.82% | 0.01% |
Avg. Drawdown | -51.45% | -0.0% |
Avg. Drawdown Days | 3609 | 8 |
Recovery Factor | -0.63 | 580.95 |
Ulcer Index | 0.29 | 0.0 |
Serenity Index | -0.64 | -718920.67 |
Avg. Up Month | 3.22% | 0.07% |
Avg. Down Month | -9.34% | -0.0% |
Win Days | 51.4% | 87.92% |
Win Month | 50.54% | 94.96% |
Win Quarter | 56.25% | 100.0% |
Win Year | 44.44% | 100.0% |
Beta | -0.35 | - |
Alpha | -0.02 | - |
Correlation | -0.3% | - |
Treynor Ratio | 2073.99% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2014 | 0.01 | -35.82 | -4492.14 | - |
2015 | 0.02 | -13.64 | -570.20 | - |
2016 | 0.25 | 30.91 | 125.60 | + |
2017 | 0.82 | 14.80 | 18.12 | + |
2018 | 1.83 | -12.52 | -6.83 | - |
2019 | 2.21 | 19.67 | 8.89 | + |
2020 | 0.54 | -13.01 | -23.88 | - |
2021 | 0.05 | 4.12 | 91.17 | + |
2022 | 1.54 | -14.13 | -9.18 | - |
2023 | 5.12 | 0.00 | 0.00 | - |
2024 | 2.05 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2014-06-30 | 2024-05-17 | -51.45 | 3609 |