Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -13.29% | -33.44% |
CAGR﹪ | -19.57% | -46.29% |
Sharpe | -8.99 | -4.6 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.07 | -3.62 |
Sortino | -8.6 | -4.94 |
Smart Sortino | -6.77 | -3.89 |
Sortino/√2 | -6.08 | -3.49 |
Smart Sortino/√2 | -4.78 | -2.75 |
Omega | 0.23 | 0.23 |
Max Drawdown | -20.66% | -51.26% |
Longest DD Days | 238 | 127 |
Volatility (ann.) | 25.26% | 54.87% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.03 | 0.03 |
Calmar | -0.95 | -0.9 |
Skew | 0.3 | -4.33 |
Kurtosis | 1.04 | 57.15 |
Expected Daily | -0.08% | -0.24% |
Expected Monthly | -1.77% | -4.96% |
Expected Yearly | -6.88% | -18.42% |
Kelly Criterion | 0.56% | 18.86% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.69% | -5.86% |
Expected Shortfall (cVaR) | -2.69% | -5.86% |
Max Consecutive Wins | 6 | 6 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | -0.11 | -0.22 |
Gain/Pain (1M) | -0.6 | -0.74 |
Payoff Ratio | 1.04 | 1.4 |
Profit Factor | 0.89 | 0.78 |
Common Sense Ratio | 0.75 | 0.53 |
CPC Index | 0.45 | 0.58 |
Tail Ratio | 0.85 | 0.68 |
Outlier Win Ratio | 3.37 | 3.23 |
Outlier Loss Ratio | 4.43 | 3.33 |
MTD | 5.1% | -30.02% |
3M | -5.4% | -36.5% |
6M | -9.86% | -35.02% |
YTD | -3.54% | -34.42% |
1Y | -13.29% | -33.44% |
3Y (ann.) | -19.57% | -46.29% |
5Y (ann.) | -19.57% | -46.29% |
10Y (ann.) | -19.57% | -46.29% |
All-time (ann.) | -19.57% | -46.29% |
Best Day | 5.91% | 20.04% |
Worst Day | -4.0% | -33.28% |
Best Month | 5.1% | 5.02% |
Worst Month | -8.23% | -30.02% |
Best Year | -3.54% | 1.5% |
Worst Year | -10.11% | -34.42% |
Avg. Drawdown | -20.66% | -6.48% |
Avg. Drawdown Days | 238 | 21 |
Recovery Factor | -0.64 | -0.65 |
Ulcer Index | 0.11 | 0.11 |
Serenity Index | -5.7 | -11.78 |
Avg. Up Month | - | - |
Avg. Down Month | -4.69% | -4.4% |
Win Days | 49.4% | 52.69% |
Win Month | 25.0% | 37.5% |
Win Quarter | 0.0% | 33.33% |
Win Year | 0.0% | 50.0% |
Beta | -0.07 | - |
Alpha | -0.21 | - |
Correlation | -14.75% | - |
Treynor Ratio | 10508.12% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.50 | -10.11 | -6.74 | - |
2022 | -34.42 | -3.54 | 0.10 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-07-02 | 2022-02-25 | -20.66 | 238 |