Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -25.8% | 9.9% |
CAGR﹪ | -14.18% | 4.96% |
Sharpe | -0.07 | 14.47 |
Prob. Sharpe Ratio | 46.58% | 100.0% |
Smart Sharpe | -0.06 | 13.38 |
Sortino | -0.08 | 46.18 |
Smart Sortino | -0.07 | 42.71 |
Sortino/√2 | -0.06 | 32.66 |
Smart Sortino/√2 | -0.05 | 30.2 |
Omega | 0.99 | 0.99 |
Max Drawdown | -62.38% | -1.25% |
Longest DD Days | 711 | 209 |
Volatility (ann.) | 49.93% | 0.39% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.23 | 3.95 |
Skew | -5.42 | -0.09 |
Kurtosis | 73.54 | -0.36 |
Expected Daily | -0.07% | 0.02% |
Expected Monthly | -1.29% | 0.41% |
Expected Yearly | -9.47% | 3.2% |
Kelly Criterion | -17.71% | 74.6% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.19% | -0.02% |
Expected Shortfall (cVaR) | -5.19% | -0.02% |
Max Consecutive Wins | 7 | 241 |
Max Consecutive Losses | 9 | 65 |
Gain/Pain Ratio | -0.01 | 7.48 |
Gain/Pain (1M) | -0.05 | 7.48 |
Payoff Ratio | 0.73 | 1.55 |
Profit Factor | 0.99 | 8.48 |
Common Sense Ratio | 1.07 | 24.17 |
CPC Index | 0.36 | 11.11 |
Tail Ratio | 1.08 | 2.85 |
Outlier Win Ratio | 1.98 | 116.64 |
Outlier Loss Ratio | 1.89 | 183.48 |
MTD | 3.07% | 0.03% |
3M | 18.08% | 1.28% |
6M | 19.51% | 2.35% |
YTD | 45.96% | 3.73% |
1Y | 60.81% | 5.17% |
3Y (ann.) | -14.18% | 4.96% |
5Y (ann.) | -14.18% | 4.96% |
10Y (ann.) | -14.18% | 4.96% |
All-time (ann.) | -14.18% | 4.96% |
Best Day | 11.11% | 0.09% |
Worst Day | -41.73% | -0.02% |
Best Month | 31.94% | 1.17% |
Worst Month | -35.13% | -0.52% |
Best Year | 45.96% | 3.73% |
Worst Year | -40.54% | 2.41% |
Avg. Drawdown | -62.38% | -1.25% |
Avg. Drawdown Days | 711 | 209 |
Recovery Factor | -0.41 | 7.89 |
Ulcer Index | 0.41 | 0.01 |
Serenity Index | -0.03 | 0.49 |
Avg. Up Month | 6.44% | 0.53% |
Avg. Down Month | -18.19% | -0.44% |
Win Days | 50.24% | 84.56% |
Win Month | 56.52% | 86.96% |
Win Quarter | 55.56% | 77.78% |
Win Year | 33.33% | 100.0% |
Beta | 1.21 | - |
Alpha | -0.1 | - |
Correlation | 0.94% | - |
Treynor Ratio | -21.36% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.45 | -14.51 | -4.21 | - |
2022 | 2.41 | -40.54 | -16.82 | - |
2023 | 3.73 | 45.96 | 12.31 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-23 | 2023-09-04 | -62.38 | 711 |