Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -23.39% | -19.52% |
CAGR﹪ | -20.07% | -16.7% |
Sharpe | -7.87 | -5.16 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.94 | -4.55 |
Sortino | -7.91 | -5.44 |
Smart Sortino | -6.98 | -4.8 |
Sortino/√2 | -5.59 | -3.85 |
Smart Sortino/√2 | -4.93 | -3.39 |
Omega | 0.28 | 0.28 |
Max Drawdown | -40.79% | -51.26% |
Longest DD Days | 372 | 127 |
Volatility (ann.) | 28.84% | 42.06% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.49 | -0.33 |
Skew | 0.16 | -5.46 |
Kurtosis | 1.33 | 93.38 |
Expected Daily | -0.09% | -0.07% |
Expected Monthly | -1.76% | -1.44% |
Expected Yearly | -8.5% | -6.98% |
Kelly Criterion | -5.66% | 8.3% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.06% | -4.39% |
Expected Shortfall (cVaR) | -3.06% | -4.39% |
Max Consecutive Wins | 6 | 9 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | -0.1 | -0.06 |
Gain/Pain (1M) | -0.58 | -0.25 |
Payoff Ratio | 1.09 | 0.93 |
Profit Factor | 0.9 | 0.94 |
Common Sense Ratio | 0.95 | 0.81 |
CPC Index | 0.44 | 0.49 |
Tail Ratio | 1.05 | 0.85 |
Outlier Win Ratio | 2.85 | 4.2 |
Outlier Loss Ratio | 3.81 | 3.84 |
MTD | 0.88% | -30.02% |
3M | -5.15% | -36.5% |
6M | -5.81% | -35.02% |
YTD | 2.47% | -34.42% |
1Y | -31.23% | -22.51% |
3Y (ann.) | -20.07% | -16.7% |
5Y (ann.) | -20.07% | -16.7% |
10Y (ann.) | -20.07% | -16.7% |
All-time (ann.) | -20.07% | -16.7% |
Best Day | 6.35% | 20.04% |
Worst Day | -6.73% | -33.28% |
Best Month | 7.7% | 6.87% |
Worst Month | -14.82% | -30.02% |
Best Year | 2.47% | 21.79% |
Worst Year | -26.38% | -34.42% |
Avg. Drawdown | -8.0% | -3.62% |
Avg. Drawdown Days | 58 | 14 |
Recovery Factor | -0.57 | -0.38 |
Ulcer Index | 0.28 | 0.08 |
Serenity Index | -1.01 | -15.42 |
Avg. Up Month | 1.02% | 2.34% |
Avg. Down Month | -9.73% | -0.89% |
Win Days | 44.82% | 55.81% |
Win Month | 40.0% | 60.0% |
Win Quarter | 33.33% | 66.67% |
Win Year | 66.67% | 66.67% |
Beta | -0.03 | - |
Alpha | -0.18 | - |
Correlation | -3.95% | - |
Treynor Ratio | 26730.28% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 0.76 | 1.56 | 2.05 | + |
2021 | 21.79 | -26.38 | -1.21 | - |
2022 | -34.42 | 2.47 | -0.07 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-02-18 | 2022-02-25 | -40.79 | 372 |
2021-01-26 | 2021-02-10 | -6.33 | 15 |
2020-12-23 | 2020-12-30 | -4.56 | 7 |
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 |