Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 11.51% | -19.31% |
CAGR﹪ | 9.55% | -16.44% |
Sharpe | -8.01 | -5.17 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.55 | -4.23 |
Sortino | -7.8 | -5.45 |
Smart Sortino | -6.38 | -4.46 |
Sortino/√2 | -5.52 | -3.85 |
Smart Sortino/√2 | -4.51 | -3.15 |
Omega | 0.21 | 0.21 |
Max Drawdown | -23.06% | -51.26% |
Longest DD Days | 94 | 127 |
Volatility (ann.) | 24.56% | 41.92% |
R^2 | 0.3 | 0.3 |
Information Ratio | 0.04 | 0.04 |
Calmar | 0.41 | -0.32 |
Skew | -1.6 | -5.47 |
Kurtosis | 19.65 | 93.98 |
Expected Daily | 0.04% | -0.07% |
Expected Monthly | 0.73% | -1.42% |
Expected Yearly | 3.7% | -6.9% |
Kelly Criterion | -1.44% | -8.05% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.5% | -4.37% |
Expected Shortfall (cVaR) | -2.5% | -4.37% |
Max Consecutive Wins | 8 | 9 |
Max Consecutive Losses | 5 | 4 |
Gain/Pain Ratio | 0.1 | -0.05 |
Gain/Pain (1M) | 0.53 | -0.24 |
Payoff Ratio | 0.86 | 0.69 |
Profit Factor | 1.1 | 0.95 |
Common Sense Ratio | 1.27 | 0.81 |
CPC Index | 0.5 | 0.37 |
Tail Ratio | 1.15 | 0.85 |
Outlier Win Ratio | 3.27 | 3.34 |
Outlier Loss Ratio | 4.49 | 3.55 |
MTD | -8.7% | -30.02% |
3M | -14.28% | -36.5% |
6M | -8.34% | -35.02% |
YTD | -15.71% | -34.42% |
1Y | 7.6% | -22.51% |
3Y (ann.) | 9.55% | -16.44% |
5Y (ann.) | 9.55% | -16.44% |
10Y (ann.) | 9.55% | -16.44% |
All-time (ann.) | 9.55% | -16.44% |
Best Day | 8.6% | 20.04% |
Worst Day | -13.01% | -33.28% |
Best Month | 9.13% | 6.87% |
Worst Month | -8.7% | -30.02% |
Best Year | 28.14% | 21.79% |
Worst Year | -15.71% | -34.42% |
Avg. Drawdown | -4.44% | -3.63% |
Avg. Drawdown Days | 24 | 14 |
Recovery Factor | 0.5 | -0.38 |
Ulcer Index | 0.05 | 0.08 |
Serenity Index | -21.72 | -15.47 |
Avg. Up Month | 4.35% | 2.65% |
Avg. Down Month | -8.19% | -18.16% |
Win Days | 52.98% | 55.78% |
Win Month | 66.67% | 60.0% |
Win Quarter | 83.33% | 66.67% |
Win Year | 66.67% | 66.67% |
Beta | 0.32 | - |
Alpha | 0.15 | - |
Correlation | 55.19% | - |
Treynor Ratio | -2129.26% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 1.03 | 3.24 | 3.13 | + |
2021 | 21.79 | 28.14 | 1.29 | + |
2022 | -34.42 | -15.71 | 0.46 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-02-25 | -23.06 | 94 |
2021-01-26 | 2021-04-05 | -10.45 | 69 |
2021-04-13 | 2021-07-02 | -9.41 | 80 |
2021-09-08 | 2021-11-03 | -8.47 | 56 |
2021-11-08 | 2021-11-15 | -3.98 | 7 |
2021-07-14 | 2021-07-26 | -3.03 | 12 |
2021-01-04 | 2021-01-08 | -2.40 | 4 |
2021-07-27 | 2021-08-20 | -2.38 | 24 |
2021-01-12 | 2021-01-21 | -2.20 | 9 |
2020-12-23 | 2020-12-30 | -2.13 | 7 |