Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 95.0% | 100.0% |
Cumulative Return | -33.54% | -6.13% |
CAGR﹪ | -28.52% | -5.07% |
Sharpe | -2.98 | -3.89 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.84 | -3.71 |
Sortino | -3.44 | -4.22 |
Smart Sortino | -3.28 | -4.02 |
Sortino/√2 | -2.43 | -2.98 |
Smart Sortino/√2 | -2.32 | -2.85 |
Omega | 0.53 | 0.53 |
Max Drawdown | -46.32% | -20.93% |
Longest DD Days | 235 | 188 |
Volatility (ann.) | 36.92% | 19.27% |
R^2 | 0.43 | 0.43 |
Information Ratio | -0.08 | -0.08 |
Calmar | -0.62 | -0.24 |
Skew | -2.2 | -3.11 |
Kurtosis | 21.86 | 26.67 |
Expected Daily | -0.19% | -0.03% |
Expected Monthly | -3.09% | -0.49% |
Expected Yearly | -18.47% | -3.12% |
Kelly Criterion | -8.59% | -9.31% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.99% | -2.02% |
Expected Shortfall (cVaR) | -3.99% | -2.02% |
Max Consecutive Wins | 8 | 7 |
Max Consecutive Losses | 8 | 5 |
Gain/Pain Ratio | -0.21 | -0.06 |
Gain/Pain (1M) | -0.62 | -0.18 |
Payoff Ratio | 0.79 | 0.73 |
Profit Factor | 0.79 | 0.94 |
Common Sense Ratio | 0.58 | 0.75 |
CPC Index | 0.33 | 0.37 |
Tail Ratio | 0.73 | 0.8 |
Outlier Win Ratio | 3.44 | 5.76 |
Outlier Loss Ratio | 2.36 | 4.78 |
MTD | 3.91% | 1.87% |
3M | -18.02% | -11.57% |
6M | -28.5% | -16.82% |
YTD | -35.44% | -18.67% |
1Y | -35.96% | -10.49% |
3Y (ann.) | -28.52% | -5.07% |
5Y (ann.) | -28.52% | -5.07% |
10Y (ann.) | -28.52% | -5.07% |
All-time (ann.) | -28.52% | -5.07% |
Best Day | 10.07% | 3.61% |
Worst Day | -19.14% | -10.63% |
Best Month | 7.57% | 7.01% |
Worst Month | -21.1% | -13.19% |
Best Year | 2.95% | 15.42% |
Worst Year | -35.44% | -18.67% |
Avg. Drawdown | -7.96% | -2.05% |
Avg. Drawdown Days | 40 | 14 |
Recovery Factor | -0.72 | -0.29 |
Ulcer Index | 0.14 | 0.05 |
Serenity Index | -0.85 | -2.6 |
Avg. Up Month | 5.21% | 3.56% |
Avg. Down Month | -9.82% | -5.34% |
Win Days | 52.2% | 53.95% |
Win Month | 30.77% | 61.54% |
Win Quarter | 33.33% | 66.67% |
Win Year | 50.0% | 50.0% |
Beta | 1.25 | - |
Alpha | -0.34 | - |
Correlation | 65.45% | - |
Treynor Ratio | -106.46% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 15.42 | 2.95 | 0.19 | - |
2022 | -18.67 | -35.44 | 1.90 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-18 | 2022-07-11 | -46.32 | 235 |
2021-04-29 | 2021-06-14 | -11.20 | 46 |
2021-09-07 | 2021-10-18 | -8.45 | 41 |
2021-06-30 | 2021-08-09 | -4.10 | 40 |
2021-08-10 | 2021-08-25 | -4.09 | 15 |
2021-10-25 | 2021-11-05 | -2.74 | 11 |
2021-06-15 | 2021-06-17 | -0.90 | 2 |
2021-11-08 | 2021-11-09 | -0.59 | 1 |
2021-06-18 | 2021-06-21 | -0.59 | 3 |
2021-11-11 | 2021-11-15 | -0.59 | 4 |