Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | -44.63% | -20.73% |
CAGR﹪ | -39.59% | -17.97% |
Sharpe | -0.71 | -0.42 |
Prob. Sharpe Ratio | 21.41% | 32.85% |
Smart Sharpe | -0.69 | -0.41 |
Sortino | -0.8 | -0.47 |
Smart Sortino | -0.78 | -0.46 |
Sortino/√2 | -0.57 | -0.33 |
Smart Sortino/√2 | -0.55 | -0.33 |
Omega | 0.81 | 0.81 |
Max Drawdown | -61.28% | -39.65% |
Longest DD Days | 237 | 137 |
Volatility (ann.) | 59.78% | 39.42% |
R^2 | 0.68 | 0.68 |
Information Ratio | -0.05 | -0.05 |
Calmar | -0.65 | -0.45 |
Skew | -7.25 | -8.48 |
Kurtosis | 91.16 | 116.48 |
Expected Daily | -0.26% | -0.1% |
Expected Monthly | -4.81% | -1.92% |
Expected Yearly | -25.59% | -10.96% |
Kelly Criterion | -18.69% | -15.48% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.36% | -4.15% |
Expected Shortfall (cVaR) | -6.36% | -4.15% |
Max Consecutive Wins | 6 | 5 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.19 | -0.14 |
Gain/Pain (1M) | -0.51 | -0.32 |
Payoff Ratio | 0.75 | 0.88 |
Profit Factor | 0.81 | 0.86 |
Common Sense Ratio | 0.72 | 1.07 |
CPC Index | 0.3 | 0.35 |
Tail Ratio | 0.89 | 1.24 |
Outlier Win Ratio | 4.36 | 7.23 |
Outlier Loss Ratio | 2.83 | 6.11 |
MTD | 16.97% | 14.56% |
3M | -43.52% | -28.99% |
6M | -47.1% | -20.83% |
YTD | -50.2% | -21.08% |
1Y | -50.15% | -20.74% |
3Y (ann.) | -39.59% | -17.97% |
5Y (ann.) | -39.59% | -17.97% |
10Y (ann.) | -39.59% | -17.97% |
All-time (ann.) | -39.59% | -17.97% |
Best Day | 13.99% | 10.7% |
Worst Day | -45.18% | -31.57% |
Best Month | 16.97% | 14.56% |
Worst Month | -51.72% | -38.01% |
Best Year | 11.18% | 0.44% |
Worst Year | -50.2% | -21.08% |
Avg. Drawdown | -5.11% | -5.53% |
Avg. Drawdown Days | 23 | 34 |
Recovery Factor | -0.73 | -0.52 |
Ulcer Index | 0.2 | 0.11 |
Serenity Index | -0.23 | -0.22 |
Avg. Up Month | 7.2% | 6.34% |
Avg. Down Month | -27.75% | -19.34% |
Win Days | 49.32% | 45.81% |
Win Month | 50.0% | 58.33% |
Win Quarter | 50.0% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | 1.25 | - |
Alpha | -0.22 | - |
Correlation | 82.48% | - |
Treynor Ratio | -35.68% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.44 | 11.18 | 25.20 | + |
2022 | -21.08 | -50.20 | 2.38 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-17 | 2022-07-12 | -61.28 | 237 |
2021-09-07 | 2021-11-03 | -8.84 | 57 |
2021-07-08 | 2021-08-26 | -4.46 | 49 |
2021-05-11 | 2021-05-24 | -3.69 | 13 |
2021-06-10 | 2021-06-11 | -1.27 | 1 |
2021-05-27 | 2021-06-04 | -1.17 | 8 |
2021-06-16 | 2021-06-17 | -1.14 | 1 |
2021-06-25 | 2021-06-28 | -1.01 | 3 |
2021-08-27 | 2021-08-30 | -0.96 | 3 |
2021-07-01 | 2021-07-06 | -0.79 | 5 |