Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -24.56% | 11.54% |
CAGR﹪ | -21.64% | 9.9% |
Sharpe | -0.7 | 0.75 |
Prob. Sharpe Ratio | 22.77% | 80.72% |
Smart Sharpe | -0.61 | 0.66 |
Sortino | -0.98 | 1.4 |
Smart Sortino | -0.86 | 1.22 |
Sortino/√2 | -0.69 | 0.99 |
Smart Sortino/√2 | -0.61 | 0.86 |
Omega | 0.89 | 0.89 |
Max Drawdown | -40.79% | -10.2% |
Longest DD Days | 372 | 284 |
Volatility (ann.) | 28.8% | 13.73% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.06 | -0.06 |
Calmar | -0.53 | 0.97 |
Skew | 0.18 | 3.14 |
Kurtosis | 1.41 | 27.07 |
Expected Daily | -0.1% | 0.04% |
Expected Monthly | -1.86% | 0.73% |
Expected Yearly | -8.97% | 3.71% |
Kelly Criterion | -1.33% | 6.46% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.06% | -1.38% |
Expected Shortfall (cVaR) | -3.06% | -1.38% |
Max Consecutive Wins | 5 | 5 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.11 | 0.16 |
Gain/Pain (1M) | -0.63 | 1.52 |
Payoff Ratio | 1.22 | 1.3 |
Profit Factor | 0.89 | 1.16 |
Common Sense Ratio | 0.94 | 1.55 |
CPC Index | 0.48 | 0.71 |
Tail Ratio | 1.05 | 1.34 |
Outlier Win Ratio | 2.48 | 5.64 |
Outlier Loss Ratio | 2.32 | 6.24 |
MTD | 0.88% | 7.35% |
3M | -5.15% | 10.68% |
6M | -5.81% | 12.57% |
YTD | 2.47% | 11.14% |
1Y | -31.23% | 12.86% |
3Y (ann.) | -21.64% | 9.9% |
5Y (ann.) | -21.64% | 9.9% |
10Y (ann.) | -21.64% | 9.9% |
All-time (ann.) | -21.64% | 9.9% |
Best Day | 6.35% | 8.19% |
Worst Day | -6.73% | -2.64% |
Best Month | 7.7% | 7.35% |
Worst Month | -14.82% | -2.45% |
Best Year | 2.47% | 11.14% |
Worst Year | -26.38% | 0.0% |
Avg. Drawdown | -8.57% | -2.47% |
Avg. Drawdown Days | 67 | 33 |
Recovery Factor | -0.6 | 1.13 |
Ulcer Index | 0.29 | 0.05 |
Serenity Index | -0.03 | 0.27 |
Avg. Up Month | 2.46% | 3.43% |
Avg. Down Month | -1.82% | -1.33% |
Win Days | 44.33% | 47.1% |
Win Month | 35.71% | 57.14% |
Win Quarter | 20.0% | 60.0% |
Win Year | 50.0% | 100.0% |
Beta | 0.24 | - |
Alpha | -0.22 | - |
Correlation | 11.3% | - |
Treynor Ratio | -103.6% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 0.00 | 0.00 | nan | + |
2021 | 0.36 | -26.38 | -74.07 | - |
2022 | 11.14 | 2.47 | 0.22 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-02-18 | 2022-02-25 | -40.79 | 372 |
2021-01-26 | 2021-02-10 | -6.33 | 15 |
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 |