Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -23.85% | -22.12% |
CAGR﹪ | -20.69% | -19.16% |
Sharpe | -7.86 | -8.49 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.91 | -7.46 |
Sortino | -7.91 | -8.35 |
Smart Sortino | -6.95 | -7.34 |
Sortino/√2 | -5.59 | -5.9 |
Smart Sortino/√2 | -4.92 | -5.19 |
Omega | 0.28 | 0.28 |
Max Drawdown | -40.79% | -41.31% |
Longest DD Days | 372 | 372 |
Volatility (ann.) | 28.95% | 26.67% |
R^2 | 0.69 | 0.69 |
Information Ratio | -0.0 | -0.0 |
Calmar | -0.51 | -0.46 |
Skew | 0.16 | 0.26 |
Kurtosis | 1.31 | 2.78 |
Expected Daily | -0.09% | -0.08% |
Expected Monthly | -1.8% | -1.65% |
Expected Yearly | -8.68% | -7.99% |
Kelly Criterion | -5.6% | -2.47% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.07% | -2.83% |
Expected Shortfall (cVaR) | -3.07% | -2.83% |
Max Consecutive Wins | 6 | 7 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.1 | -0.11 |
Gain/Pain (1M) | -0.6 | -0.53 |
Payoff Ratio | 1.1 | 1.08 |
Profit Factor | 0.9 | 0.89 |
Common Sense Ratio | 0.95 | 0.98 |
CPC Index | 0.44 | 0.45 |
Tail Ratio | 1.05 | 1.1 |
Outlier Win Ratio | 3.03 | 3.53 |
Outlier Loss Ratio | 3.3 | 3.53 |
MTD | 0.88% | 4.66% |
3M | -5.15% | -3.64% |
6M | -5.81% | -4.11% |
YTD | 2.47% | 5.62% |
1Y | -31.23% | -30.51% |
3Y (ann.) | -20.69% | -19.16% |
5Y (ann.) | -20.69% | -19.16% |
10Y (ann.) | -20.69% | -19.16% |
All-time (ann.) | -20.69% | -19.16% |
Best Day | 6.35% | 7.47% |
Worst Day | -6.73% | -7.09% |
Best Month | 7.7% | 8.37% |
Worst Month | -14.82% | -15.41% |
Best Year | 2.47% | 5.62% |
Worst Year | -26.38% | -27.29% |
Avg. Drawdown | -7.87% | -10.29% |
Avg. Drawdown Days | 58 | 80 |
Recovery Factor | -0.58 | -0.54 |
Ulcer Index | 0.28 | 0.28 |
Serenity Index | -1.01 | -0.93 |
Avg. Up Month | 2.21% | 2.83% |
Avg. Down Month | -4.77% | -4.97% |
Win Days | 44.59% | 46.8% |
Win Month | 40.0% | 46.67% |
Win Quarter | 33.33% | 33.33% |
Win Year | 66.67% | 66.67% |
Beta | 0.9 | - |
Alpha | -0.03 | - |
Correlation | 83.34% | - |
Treynor Ratio | -800.24% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.41 | 0.95 | 0.67 | - |
2021 | -27.29 | -26.38 | 0.97 | + |
2022 | 5.62 | 2.47 | 0.44 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-02-18 | 2022-02-25 | -40.79 | 372 |
2021-01-26 | 2021-02-10 | -6.33 | 15 |
2020-12-24 | 2020-12-30 | -3.68 | 6 |
2021-01-13 | 2021-01-20 | -2.00 | 7 |
2021-01-21 | 2021-01-22 | -0.94 | 1 |
2021-02-12 | 2021-02-16 | -0.81 | 4 |
2021-01-11 | 2021-01-12 | -0.54 | 1 |