Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 92.0% | 96.0% |
Cumulative Return | 0.9% | 1.97% |
CAGR﹪ | 11.11% | 25.83% |
Sharpe | 0.56 | 24.78 |
Prob. Sharpe Ratio | 56.69% | - |
Smart Sharpe | 0.48 | 21.02 |
Sortino | 0.94 | - |
Smart Sortino | 0.8 | - |
Sortino/√2 | 0.66 | - |
Smart Sortino/√2 | 0.56 | - |
Omega | 1.11 | 1.11 |
Max Drawdown | -5.98% | - |
Longest DD Days | - | - |
Volatility (ann.) | 21.18% | 0.86% |
R^2 | 0.03 | 0.03 |
Information Ratio | -0.03 | -0.03 |
Calmar | 1.86 | - |
Skew | 0.65 | 1.52 |
Kurtosis | 1.18 | 1.27 |
Expected Daily | 0.04% | 0.08% |
Expected Monthly | 0.45% | 0.98% |
Expected Yearly | 0.9% | 1.97% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.15% | -0.0% |
Expected Shortfall (cVaR) | -2.15% | -0.0% |
Max Consecutive Wins | 3 | 22 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | 0.11 | - |
Gain/Pain (1M) | 0.53 | - |
Payoff Ratio | - | - |
Profit Factor | 1.11 | - |
Common Sense Ratio | 1.19 | - |
CPC Index | - | - |
Tail Ratio | 1.07 | 3.05 |
Outlier Win Ratio | 1.68 | 19.84 |
Outlier Loss Ratio | 1.42 | - |
MTD | 3.01% | 1.17% |
3M | 0.9% | 1.97% |
6M | 0.9% | 1.97% |
YTD | 0.9% | 1.97% |
1Y | 0.9% | 1.97% |
3Y (ann.) | 11.11% | 25.83% |
5Y (ann.) | 11.11% | 25.83% |
10Y (ann.) | 11.11% | 25.83% |
All-time (ann.) | 11.11% | 25.83% |
Best Day | 3.42% | 0.2% |
Worst Day | -2.42% | 0.0% |
Best Month | 3.01% | 1.17% |
Worst Month | -2.05% | 0.79% |
Best Year | 0.9% | 1.97% |
Worst Year | 0.9% | 1.97% |
Avg. Drawdown | -5.98% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.15 | - |
Ulcer Index | 0.04 | 0.0 |
Serenity Index | 0.04 | - |
Avg. Up Month | 3.01% | 1.17% |
Avg. Down Month | - | - |
Win Days | 42.86% | 100.0% |
Win Month | 50.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | -4.5 | - |
Alpha | 1.08 | - |
Correlation | -18.33% | - |
Treynor Ratio | -0.2% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 1.97 | 0.90 | 0.46 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-27 | 2022-02-25 | -5.98 | 29 |