Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 97.0% |
Cumulative Return | 6.3% | -8.81% |
CAGR﹪ | 33.09% | -35.06% |
Sharpe | -10.14 | -11.16 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.96 | -10.96 |
Sortino | -9.16 | -9.27 |
Smart Sortino | -9.0 | -9.11 |
Sortino/√2 | -6.48 | -6.56 |
Smart Sortino/√2 | -6.36 | -6.44 |
Omega | 0.21 | 0.21 |
Max Drawdown | -6.37% | -14.64% |
Longest DD Days | 50 | 50 |
Volatility (ann.) | 17.62% | 22.33% |
R^2 | 0.03 | 0.03 |
Information Ratio | 0.17 | 0.17 |
Calmar | 5.2 | -2.39 |
Skew | 0.21 | -3.19 |
Kurtosis | -0.49 | 16.47 |
Expected Daily | 0.11% | -0.17% |
Expected Monthly | 2.06% | -3.03% |
Expected Yearly | 3.1% | -4.51% |
Kelly Criterion | 2.94% | -2.4% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.71% | -2.47% |
Expected Shortfall (cVaR) | -1.71% | -2.47% |
Max Consecutive Wins | 3 | 11 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | 0.3 | -0.32 |
Gain/Pain (1M) | 570.03 | -0.71 |
Payoff Ratio | 1.1 | 0.89 |
Profit Factor | 1.3 | 0.68 |
Common Sense Ratio | 1.45 | 0.46 |
CPC Index | 0.71 | 0.31 |
Tail Ratio | 1.11 | 0.67 |
Outlier Win Ratio | 2.16 | 3.5 |
Outlier Loss Ratio | 4.42 | 3.22 |
MTD | 2.31% | -11.84% |
3M | 6.3% | -8.81% |
6M | 6.3% | -8.81% |
YTD | 2.16% | -11.0% |
1Y | 6.3% | -8.81% |
3Y (ann.) | 33.09% | -35.06% |
5Y (ann.) | 33.09% | -35.06% |
10Y (ann.) | 33.09% | -35.06% |
All-time (ann.) | 33.09% | -35.06% |
Best Day | 2.71% | 2.01% |
Worst Day | -1.95% | -7.87% |
Best Month | 4.05% | 2.46% |
Worst Month | -0.15% | -11.84% |
Best Year | 4.05% | 2.46% |
Worst Year | 2.16% | -11.0% |
Avg. Drawdown | -1.59% | -8.1% |
Avg. Drawdown Days | 12 | 30 |
Recovery Factor | 0.99 | -0.6 |
Ulcer Index | 0.03 | 0.04 |
Serenity Index | -38.24 | -29.35 |
Avg. Up Month | 4.05% | 2.46% |
Avg. Down Month | - | - |
Win Days | 49.06% | 51.92% |
Win Month | 66.67% | 66.67% |
Win Quarter | 100.0% | 50.0% |
Win Year | 100.0% | 50.0% |
Beta | 0.14 | - |
Alpha | 0.36 | - |
Correlation | 17.92% | - |
Treynor Ratio | -4905.87% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.46 | 4.05 | 1.65 | + |
2022 | -11.00 | 2.16 | -0.20 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-02-25 | -6.37 | 50 |
2021-12-14 | 2021-12-23 | -1.87 | 9 |
2021-12-24 | 2021-12-27 | -0.68 | 3 |
2021-12-28 | 2021-12-29 | -0.20 | 1 |
2021-12-10 | 2021-12-13 | -0.20 | 3 |
2021-12-30 | 2022-01-03 | -0.20 | 4 |