Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -7.73% | -4.92% |
CAGR﹪ | -6.8% | -4.32% |
Sharpe | -2.33 | -2.58 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.04 | -2.26 |
Sortino | -2.86 | -3.01 |
Smart Sortino | -2.51 | -2.64 |
Sortino/√2 | -2.02 | -2.13 |
Smart Sortino/√2 | -1.77 | -1.87 |
Omega | 0.67 | 0.67 |
Max Drawdown | -25.06% | -24.35% |
Longest DD Days | 330 | 332 |
Volatility (ann.) | 32.32% | 28.04% |
R^2 | 0.3 | 0.3 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.27 | -0.18 |
Skew | -0.73 | -1.43 |
Kurtosis | 3.92 | 7.34 |
Expected Daily | -0.04% | -0.03% |
Expected Monthly | -0.62% | -0.39% |
Expected Yearly | -3.94% | -2.49% |
Kelly Criterion | -11.77% | 0.32% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.37% | -2.92% |
Expected Shortfall (cVaR) | -3.37% | -2.92% |
Max Consecutive Wins | 4 | 7 |
Max Consecutive Losses | 8 | 6 |
Gain/Pain Ratio | -0.03 | -0.02 |
Gain/Pain (1M) | -0.12 | -0.06 |
Payoff Ratio | 0.89 | 0.89 |
Profit Factor | 0.97 | 0.98 |
Common Sense Ratio | 0.96 | 1.03 |
CPC Index | 0.41 | 0.46 |
Tail Ratio | 0.99 | 1.05 |
Outlier Win Ratio | 2.84 | 3.82 |
Outlier Loss Ratio | 3.87 | 4.24 |
MTD | -0.31% | -0.18% |
3M | 9.01% | 3.44% |
6M | -1.12% | 0.16% |
YTD | -12.23% | -13.49% |
1Y | -4.31% | -8.3% |
3Y (ann.) | -6.8% | -4.32% |
5Y (ann.) | -6.8% | -4.32% |
10Y (ann.) | -6.8% | -4.32% |
All-time (ann.) | -6.8% | -4.32% |
Best Day | 5.72% | 5.74% |
Worst Day | -9.89% | -9.2% |
Best Month | 10.02% | 9.22% |
Worst Month | -11.72% | -9.21% |
Best Year | 5.14% | 9.9% |
Worst Year | -12.23% | -13.49% |
Avg. Drawdown | -6.63% | -3.16% |
Avg. Drawdown Days | 68 | 35 |
Recovery Factor | -0.31 | -0.2 |
Ulcer Index | 0.14 | 0.13 |
Serenity Index | -0.65 | -0.64 |
Avg. Up Month | 6.11% | 6.67% |
Avg. Down Month | -4.53% | -4.5% |
Win Days | 47.25% | 53.01% |
Win Month | 38.46% | 38.46% |
Win Quarter | 40.0% | 40.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.63 | - |
Alpha | -0.04 | - |
Correlation | 54.49% | - |
Treynor Ratio | -171.54% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 9.90 | 5.14 | 0.52 | - |
2022 | -13.49 | -12.23 | 0.91 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-12-02 | -25.06 | 330 |
2021-11-16 | 2022-01-04 | -9.26 | 49 |
2021-10-21 | 2021-11-08 | -2.22 | 18 |
2021-11-09 | 2021-11-15 | -1.80 | 6 |
2021-10-18 | 2021-10-19 | -1.12 | 1 |
2021-10-12 | 2021-10-14 | -0.33 | 2 |