Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | -25.0% | -5.74% |
CAGR﹪ | -20.89% | -4.7% |
Sharpe | -4.35 | -3.29 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.13 | -3.13 |
Sortino | -4.6 | -3.51 |
Smart Sortino | -4.37 | -3.34 |
Sortino/√2 | -3.25 | -2.48 |
Smart Sortino/√2 | -3.09 | -2.36 |
Omega | 0.42 | 0.42 |
Max Drawdown | -28.06% | -22.95% |
Longest DD Days | 403 | 186 |
Volatility (ann.) | 23.79% | 22.57% |
R^2 | 0.41 | 0.41 |
Information Ratio | -0.09 | -0.09 |
Calmar | -0.74 | -0.2 |
Skew | -3.06 | -5.29 |
Kurtosis | 23.99 | 53.1 |
Expected Daily | -0.15% | -0.03% |
Expected Monthly | -2.19% | -0.45% |
Expected Yearly | -13.4% | -2.91% |
Kelly Criterion | -26.1% | -14.87% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.6% | -2.36% |
Expected Shortfall (cVaR) | -2.6% | -2.36% |
Max Consecutive Wins | 7 | 7 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | -0.24 | -0.05 |
Gain/Pain (1M) | -0.74 | -0.15 |
Payoff Ratio | 0.62 | 0.64 |
Profit Factor | 0.76 | 0.95 |
Common Sense Ratio | 0.65 | 0.75 |
CPC Index | 0.24 | 0.33 |
Tail Ratio | 0.85 | 0.78 |
Outlier Win Ratio | 3.17 | 3.61 |
Outlier Loss Ratio | 2.39 | 3.15 |
MTD | -1.98% | 1.87% |
3M | -14.36% | -11.57% |
6M | -18.72% | -17.27% |
YTD | -18.72% | -18.67% |
1Y | -24.94% | -10.49% |
3Y (ann.) | -20.89% | -4.7% |
5Y (ann.) | -20.89% | -4.7% |
10Y (ann.) | -20.89% | -4.7% |
All-time (ann.) | -20.89% | -4.7% |
Best Day | 3.2% | 4.18% |
Worst Day | -12.63% | -14.38% |
Best Month | 3.46% | 5.74% |
Worst Month | -12.63% | -13.19% |
Best Year | -7.73% | 15.91% |
Worst Year | -18.72% | -18.67% |
Avg. Drawdown | -7.74% | -2.06% |
Avg. Drawdown Days | 87 | 14 |
Recovery Factor | -0.89 | -0.25 |
Ulcer Index | 0.09 | 0.05 |
Serenity Index | -1.26 | -3.33 |
Avg. Up Month | 1.45% | 2.84% |
Avg. Down Month | -5.43% | -6.51% |
Win Days | 51.85% | 55.38% |
Win Month | 46.15% | 69.23% |
Win Quarter | 16.67% | 66.67% |
Win Year | 0.0% | 50.0% |
Beta | 0.68 | - |
Alpha | -0.31 | - |
Correlation | 64.09% | - |
Treynor Ratio | -185.11% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 15.91 | -7.73 | -0.49 | - |
2022 | -18.67 | -18.72 | 1.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-06-03 | 2022-07-11 | -28.06 | 403 |
2021-05-10 | 2021-05-28 | -6.55 | 18 |
2021-04-29 | 2021-05-07 | -3.28 | 8 |
2021-04-20 | 2021-04-23 | -0.76 | 3 |
2021-04-26 | 2021-04-27 | -0.08 | 1 |