Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 95.0% | 95.0% |
Cumulative Return | -1.41% | 2.59% |
CAGR﹪ | -21.01% | 52.76% |
Sharpe | -1.93 | 61.6 |
Prob. Sharpe Ratio | 30.68% | 96.13% |
Smart Sharpe | -1.83 | 58.21 |
Sortino | -2.4 | - |
Smart Sortino | -2.27 | - |
Sortino/√2 | -1.7 | - |
Smart Sortino/√2 | -1.6 | - |
Omega | 0.73 | 0.73 |
Max Drawdown | -2.68% | - |
Longest DD Days | - | - |
Volatility (ann.) | 10.61% | 0.62% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.35 | -0.35 |
Calmar | -7.82 | - |
Skew | -0.52 | -4.12 |
Kurtosis | -0.3 | 17.0 |
Expected Daily | -0.08% | 0.15% |
Expected Monthly | -0.71% | 1.29% |
Expected Yearly | -1.41% | 2.59% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.18% | -0.09% |
Expected Shortfall (cVaR) | -1.18% | -0.09% |
Max Consecutive Wins | 2 | 16 |
Max Consecutive Losses | 3 | 0 |
Gain/Pain Ratio | -0.27 | - |
Gain/Pain (1M) | -0.69 | - |
Payoff Ratio | - | - |
Profit Factor | 0.73 | - |
Common Sense Ratio | 0.54 | - |
CPC Index | - | - |
Tail Ratio | 0.75 | 1.25 |
Outlier Win Ratio | 1.27 | 3.49 |
Outlier Loss Ratio | 1.09 | - |
MTD | -2.03% | 2.26% |
3M | -1.41% | 2.59% |
6M | -1.41% | 2.59% |
YTD | -1.41% | 2.59% |
1Y | -1.41% | 2.59% |
3Y (ann.) | -21.01% | 52.76% |
5Y (ann.) | -21.01% | 52.76% |
10Y (ann.) | -21.01% | 52.76% |
All-time (ann.) | -21.01% | 52.76% |
Best Day | 0.9% | 0.16% |
Worst Day | -1.49% | 0.0% |
Best Month | 0.63% | 2.26% |
Worst Month | -2.03% | 0.32% |
Best Year | -1.41% | 2.59% |
Worst Year | -1.41% | 2.59% |
Avg. Drawdown | -2.68% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.53 | - |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | -0.17 | - |
Avg. Up Month | 0.63% | 0.32% |
Avg. Down Month | - | - |
Win Days | 50.0% | 100.0% |
Win Month | 50.0% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | -0.54 | - |
Alpha | 0.0 | - |
Correlation | -3.14% | - |
Treynor Ratio | 2.6% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | 2.59 | -1.41 | -0.55 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-10-01 | 2024-10-18 | -2.68 | 17 |