Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -19.15% | -6.02% |
CAGR﹪ | -10.4% | -3.16% |
Sharpe | -4.16 | -5.03 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.85 | -4.66 |
Sortino | -4.46 | -5.33 |
Smart Sortino | -4.13 | -4.94 |
Sortino/√2 | -3.15 | -3.77 |
Smart Sortino/√2 | -2.92 | -3.49 |
Omega | 0.41 | 0.41 |
Max Drawdown | -59.17% | -53.53% |
Longest DD Days | 703 | 683 |
Volatility (ann.) | 49.83% | 40.49% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.0 | -0.0 |
Calmar | -0.18 | -0.06 |
Skew | -5.49 | -4.61 |
Kurtosis | 74.83 | 78.93 |
Expected Daily | -0.05% | -0.01% |
Expected Monthly | -0.92% | -0.27% |
Expected Yearly | -6.84% | -2.05% |
Kelly Criterion | -4.2% | 0.51% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.16% | -4.17% |
Expected Shortfall (cVaR) | -5.16% | -4.17% |
Max Consecutive Wins | 7 | 7 |
Max Consecutive Losses | 9 | 5 |
Gain/Pain Ratio | 0.01 | 0.04 |
Gain/Pain (1M) | 0.03 | 0.13 |
Payoff Ratio | 0.91 | 0.87 |
Profit Factor | 1.01 | 1.04 |
Common Sense Ratio | 1.12 | 0.94 |
CPC Index | 0.46 | 0.49 |
Tail Ratio | 1.11 | 0.9 |
Outlier Win Ratio | 2.96 | 4.5 |
Outlier Loss Ratio | 3.85 | 5.48 |
MTD | 3.07% | 1.27% |
3M | 18.08% | 21.3% |
6M | 19.51% | 50.43% |
YTD | 45.96% | 59.12% |
1Y | 60.81% | 49.96% |
3Y (ann.) | -10.4% | -3.16% |
5Y (ann.) | -10.4% | -3.16% |
10Y (ann.) | -10.4% | -3.16% |
All-time (ann.) | -10.4% | -3.16% |
Best Day | 11.11% | 20.04% |
Worst Day | -41.73% | -33.28% |
Best Month | 31.94% | 15.56% |
Worst Month | -35.13% | -30.02% |
Best Year | 45.96% | 59.12% |
Worst Year | -40.54% | -37.26% |
Avg. Drawdown | -31.99% | -11.31% |
Avg. Drawdown Days | 352 | 139 |
Recovery Factor | -0.32 | -0.11 |
Ulcer Index | 0.37 | 0.36 |
Serenity Index | -1.02 | -0.88 |
Avg. Up Month | 8.49% | 4.2% |
Avg. Down Month | -17.88% | -8.3% |
Win Days | 50.36% | 53.59% |
Win Month | 60.87% | 69.57% |
Win Quarter | 66.67% | 55.56% |
Win Year | 33.33% | 33.33% |
Beta | 0.04 | - |
Alpha | 0.02 | - |
Correlation | 3.19% | - |
Treynor Ratio | -18304.28% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -5.87 | -6.85 | 1.17 | - |
2022 | -37.26 | -40.54 | 1.09 | - |
2023 | 59.12 | 45.96 | 0.78 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-01 | 2023-09-04 | -59.17 | 703 |
2021-09-28 | 2021-09-30 | -4.82 | 2 |