Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 25.0% | 99.0% |
Cumulative Return | -38.21% | -42.14% |
CAGR﹪ | -22.15% | -24.76% |
Sharpe | -9.56 | -6.93 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.11 | -6.6 |
Sortino | -8.82 | -6.92 |
Smart Sortino | -8.4 | -6.59 |
Sortino/√2 | -6.23 | -4.89 |
Smart Sortino/√2 | -5.94 | -4.66 |
Omega | 0.11 | 0.11 |
Max Drawdown | -44.92% | -46.09% |
Longest DD Days | 667 | 668 |
Volatility (ann.) | 24.43% | 33.81% |
R^2 | 0.1 | 0.1 |
Information Ratio | 0.0 | 0.0 |
Calmar | -0.49 | -0.54 |
Skew | -2.95 | -1.94 |
Kurtosis | 30.31 | 18.22 |
Expected Daily | -0.11% | -0.13% |
Expected Monthly | -1.99% | -2.25% |
Expected Yearly | -14.83% | -16.67% |
Kelly Criterion | -23.87% | -3.49% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.63% | -3.61% |
Expected Shortfall (cVaR) | -2.63% | -3.61% |
Max Consecutive Wins | 3 | 6 |
Max Consecutive Losses | 4 | 7 |
Gain/Pain Ratio | -0.33 | -0.13 |
Gain/Pain (1M) | -0.67 | -0.46 |
Payoff Ratio | 0.72 | 0.93 |
Profit Factor | 0.67 | 0.87 |
Common Sense Ratio | 0.47 | 0.78 |
CPC Index | 0.23 | 0.41 |
Tail Ratio | 0.71 | 0.9 |
Outlier Win Ratio | 18.48 | 3.14 |
Outlier Loss Ratio | 2.3 | 3.38 |
MTD | 0.0% | -5.43% |
3M | 0.0% | -13.62% |
6M | 0.0% | -16.87% |
YTD | 0.0% | -0.04% |
1Y | -2.56% | -7.34% |
3Y (ann.) | -22.15% | -24.76% |
5Y (ann.) | -22.15% | -24.76% |
10Y (ann.) | -22.15% | -24.76% |
All-time (ann.) | -22.15% | -24.76% |
Best Day | 9.04% | 8.75% |
Worst Day | -13.74% | -19.93% |
Best Month | 9.11% | 15.17% |
Worst Month | -16.12% | -15.56% |
Best Year | 0.0% | -0.04% |
Worst Year | -34.83% | -38.42% |
Avg. Drawdown | -16.33% | -17.15% |
Avg. Drawdown Days | 232 | 231 |
Recovery Factor | -0.85 | -0.91 |
Ulcer Index | 0.35 | 0.34 |
Serenity Index | -0.6 | -0.9 |
Avg. Up Month | 6.32% | 5.53% |
Avg. Down Month | -8.07% | -8.68% |
Win Days | 48.15% | 50.0% |
Win Month | 33.33% | 33.33% |
Win Quarter | 20.0% | 37.5% |
Win Year | 0.0% | 0.0% |
Beta | 0.23 | - |
Alpha | -0.19 | - |
Correlation | 31.4% | - |
Treynor Ratio | -3254.82% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -5.99 | -5.18 | 0.86 | + |
2022 | -38.42 | -34.83 | 0.91 | + |
2023 | -0.04 | 0.00 | -0.00 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-09 | 2023-09-07 | -44.92 | 667 |
2021-10-06 | 2021-11-02 | -3.76 | 27 |
2021-11-03 | 2021-11-05 | -0.30 | 2 |