Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -13.28% | 12.99% |
CAGR﹪ | -19.85% | 20.88% |
Sharpe | -0.74 | 1.23 |
Prob. Sharpe Ratio | 27.57% | 87.02% |
Smart Sharpe | -0.59 | 0.98 |
Sortino | -1.04 | 2.51 |
Smart Sortino | -0.83 | 2.0 |
Sortino/√2 | -0.73 | 1.77 |
Smart Sortino/√2 | -0.58 | 1.41 |
Omega | 0.88 | 0.88 |
Max Drawdown | -20.65% | -7.0% |
Longest DD Days | 234 | 136 |
Volatility (ann.) | 24.98% | 16.12% |
R^2 | 0.09 | 0.09 |
Information Ratio | -0.1 | -0.1 |
Calmar | -0.96 | 2.98 |
Skew | 0.31 | 3.33 |
Kurtosis | 1.17 | 24.52 |
Expected Daily | -0.09% | 0.07% |
Expected Monthly | -1.77% | 1.54% |
Expected Yearly | -6.88% | 6.3% |
Kelly Criterion | -9.45% | 16.04% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.66% | -1.59% |
Expected Shortfall (cVaR) | -2.66% | -1.59% |
Max Consecutive Wins | 6 | 5 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.12 | 0.29 |
Gain/Pain (1M) | -0.6 | 3.77 |
Payoff Ratio | 0.86 | 1.74 |
Profit Factor | 0.88 | 1.29 |
Common Sense Ratio | 0.75 | 2.13 |
CPC Index | 0.38 | 1.05 |
Tail Ratio | 0.84 | 1.65 |
Outlier Win Ratio | 3.22 | 4.86 |
Outlier Loss Ratio | 2.14 | 5.31 |
MTD | 5.1% | 7.35% |
3M | -5.4% | 10.68% |
6M | -9.86% | 12.57% |
YTD | -3.54% | 11.14% |
1Y | -13.28% | 12.99% |
3Y (ann.) | -19.85% | 20.88% |
5Y (ann.) | -19.85% | 20.88% |
10Y (ann.) | -19.85% | 20.88% |
All-time (ann.) | -19.85% | 20.88% |
Best Day | 5.91% | 8.19% |
Worst Day | -4.0% | -2.64% |
Best Month | 5.1% | 7.35% |
Worst Month | -8.23% | -2.45% |
Best Year | -3.54% | 11.14% |
Worst Year | -10.09% | 1.66% |
Avg. Drawdown | -20.65% | -2.51% |
Avg. Drawdown Days | 234 | 22 |
Recovery Factor | -0.64 | 1.85 |
Ulcer Index | 0.11 | 0.03 |
Serenity Index | -0.1 | 0.92 |
Avg. Up Month | 3.83% | 4.09% |
Avg. Down Month | -3.52% | -1.17% |
Win Days | 49.39% | 46.67% |
Win Month | 25.0% | 62.5% |
Win Quarter | 0.0% | 66.67% |
Win Year | 0.0% | 100.0% |
Beta | 0.47 | - |
Alpha | -0.28 | - |
Correlation | 30.28% | - |
Treynor Ratio | -28.3% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.66 | -10.09 | -6.08 | - |
2022 | 11.14 | -3.54 | -0.32 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-07-06 | 2022-02-25 | -20.65 | 234 |