Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 82.0% | 97.0% |
Cumulative Return | -14.59% | -29.97% |
CAGR﹪ | -37.86% | -65.86% |
Sharpe | -13.97 | -7.24 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -12.61 | -6.53 |
Sortino | -10.87 | -6.63 |
Smart Sortino | -9.81 | -5.98 |
Sortino/√2 | -7.69 | -4.69 |
Smart Sortino/√2 | -6.94 | -4.23 |
Omega | 0.08 | 0.08 |
Max Drawdown | -15.96% | -31.12% |
Longest DD Days | 100 | 105 |
Volatility (ann.) | 19.18% | 46.14% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.08 | 0.08 |
Calmar | -2.37 | -2.12 |
Skew | -1.4 | -7.81 |
Kurtosis | 8.87 | 62.27 |
Expected Daily | -0.24% | -0.55% |
Expected Monthly | -3.11% | -6.88% |
Expected Yearly | -7.58% | -16.32% |
Kelly Criterion | -115.39% | -85.63% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.22% | -5.28% |
Expected Shortfall (cVaR) | -2.22% | -5.28% |
Max Consecutive Wins | 3 | 6 |
Max Consecutive Losses | 5 | 9 |
Gain/Pain Ratio | -0.49 | -0.86 |
Gain/Pain (1M) | -0.96 | -0.96 |
Payoff Ratio | 0.41 | 0.46 |
Profit Factor | 0.51 | 0.14 |
Common Sense Ratio | 0.33 | 0.05 |
CPC Index | 0.08 | 0.03 |
Tail Ratio | 0.64 | 0.37 |
Outlier Win Ratio | 3.35 | 9.04 |
Outlier Loss Ratio | 6.93 | 6.5 |
MTD | 0.0% | 0.46% |
3M | -14.94% | -30.57% |
6M | -14.59% | -29.97% |
YTD | -14.94% | -30.57% |
1Y | -14.59% | -29.97% |
3Y (ann.) | -37.86% | -65.86% |
5Y (ann.) | -37.86% | -65.86% |
10Y (ann.) | -37.86% | -65.86% |
All-time (ann.) | -37.86% | -65.86% |
Best Day | 3.21% | 0.92% |
Worst Day | -6.11% | -23.34% |
Best Month | 0.41% | 0.86% |
Worst Month | -11.24% | -23.95% |
Best Year | 0.41% | 0.86% |
Worst Year | -14.94% | -30.57% |
Avg. Drawdown | -6.64% | -10.54% |
Avg. Drawdown Days | 39 | 37 |
Recovery Factor | -0.91 | -0.96 |
Ulcer Index | 0.07 | 0.09 |
Serenity Index | -10.52 | -12.31 |
Avg. Up Month | 0.41% | 0.86% |
Avg. Down Month | -7.7% | -4.66% |
Win Days | 37.74% | 41.27% |
Win Month | 33.33% | 40.0% |
Win Quarter | 50.0% | 66.67% |
Win Year | 50.0% | 50.0% |
Beta | 0.0 | - |
Alpha | -0.59 | - |
Correlation | 1.12% | - |
Treynor Ratio | -153272.62% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.86 | 0.41 | 0.47 | - |
2022 | -30.57 | -14.94 | 0.49 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-12-22 | 2022-04-01 | -15.96 | 100 |
2021-12-13 | 2021-12-21 | -2.43 | 8 |
2021-12-02 | 2021-12-10 | -1.53 | 8 |