Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 80.0% | 0.0% |
Cumulative Return | -0.77% | 0.0% |
CAGR﹪ | -37.38% | 0.0% |
Sharpe | -8.53 | - |
Prob. Sharpe Ratio | 3.99% | - |
Smart Sharpe | -7.81 | - |
Sortino | -8.31 | - |
Smart Sortino | -7.61 | - |
Sortino/√2 | -5.88 | - |
Smart Sortino/√2 | -5.38 | - |
Omega | 0.14 | 0.14 |
Max Drawdown | -0.89% | - |
Longest DD Days | - | - |
Volatility (ann.) | 4.53% | 0.0% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.54 | -0.54 |
Calmar | -42.19 | - |
Skew | -1.02 | 0.0 |
Kurtosis | -0.03 | 0.0 |
Expected Daily | -0.15% | 0.0% |
Expected Monthly | -0.77% | 0.0% |
Expected Yearly | -0.77% | 0.0% |
Kelly Criterion | - | - |
Risk of Ruin | 0.08% | 1.0% |
Daily Value-at-Risk | -0.62% | - |
Expected Shortfall (cVaR) | -0.62% | - |
Max Consecutive Wins | 1 | 0 |
Max Consecutive Losses | 3 | 0 |
Gain/Pain Ratio | -0.86 | - |
Gain/Pain (1M) | -1.0 | - |
Payoff Ratio | - | - |
Profit Factor | 0.14 | - |
Common Sense Ratio | 0.02 | - |
CPC Index | - | - |
Tail Ratio | 0.18 | - |
Outlier Win Ratio | 0.96 | - |
Outlier Loss Ratio | 0.97 | - |
MTD | -0.77% | 0.0% |
3M | -0.77% | 0.0% |
6M | -0.77% | 0.0% |
YTD | -0.77% | 0.0% |
1Y | -0.77% | 0.0% |
3Y (ann.) | -37.38% | 0.0% |
5Y (ann.) | -37.38% | 0.0% |
10Y (ann.) | -37.38% | 0.0% |
All-time (ann.) | -37.38% | 0.0% |
Best Day | 0.12% | 0.0% |
Worst Day | -0.59% | 0.0% |
Best Month | -0.77% | 0.0% |
Worst Month | -0.77% | 0.0% |
Best Year | -0.77% | 0.0% |
Worst Year | -0.77% | 0.0% |
Avg. Drawdown | -0.89% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.87 | - |
Ulcer Index | 0.01 | 0.0 |
Serenity Index | -0.29 | - |
Avg. Up Month | - | - |
Avg. Down Month | - | - |
Win Days | 25.0% | 0.0% |
Win Month | 0.0% | 0.0% |
Win Quarter | 0.0% | 0.0% |
Win Year | 0.0% | 0.0% |
Beta | 0.0 | - |
Alpha | 0.0 | - |
Correlation | - | - |
Treynor Ratio | 0% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 0.00 | -0.77 | -inf | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-10-17 | 2024-10-22 | -0.89 | 5 |