Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | -40.89% | 6.95% |
CAGR﹪ | -35.47% | 5.76% |
Sharpe | -0.86 | 41.19 |
Prob. Sharpe Ratio | 16.23% | 100.0% |
Smart Sharpe | -0.82 | 39.25 |
Sortino | -0.98 | - |
Smart Sortino | -0.94 | - |
Sortino/√2 | -0.69 | - |
Smart Sortino/√2 | -0.66 | - |
Omega | 0.76 | 0.76 |
Max Drawdown | -48.16% | - |
Longest DD Days | - | - |
Volatility (ann.) | 49.18% | 0.18% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.06 | -0.06 |
Calmar | -0.74 | - |
Skew | -6.42 | 2.26 |
Kurtosis | 79.76 | 6.61 |
Expected Daily | -0.23% | 0.03% |
Expected Monthly | -3.96% | 0.52% |
Expected Yearly | -23.11% | 3.41% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.26% | -0.01% |
Expected Shortfall (cVaR) | -5.26% | -0.01% |
Max Consecutive Wins | 5 | 232 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | -0.24 | - |
Gain/Pain (1M) | -0.63 | - |
Payoff Ratio | - | - |
Profit Factor | 0.76 | - |
Common Sense Ratio | 0.63 | - |
CPC Index | - | - |
Tail Ratio | 0.83 | 2.31 |
Outlier Win Ratio | 2.88 | 103.59 |
Outlier Loss Ratio | 1.92 | - |
MTD | 12.45% | 0.58% |
3M | -39.36% | 1.23% |
6M | -37.15% | 2.41% |
YTD | -36.33% | 2.61% |
1Y | -40.04% | 5.89% |
3Y (ann.) | -35.47% | 5.76% |
5Y (ann.) | -35.47% | 5.76% |
10Y (ann.) | -35.47% | 5.76% |
All-time (ann.) | -35.47% | 5.76% |
Best Day | 14.24% | 0.08% |
Worst Day | -35.95% | 0.0% |
Best Month | 12.45% | 0.71% |
Worst Month | -46.07% | 0.0% |
Best Year | -7.15% | 4.22% |
Worst Year | -36.33% | 2.61% |
Avg. Drawdown | -26.85% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.85 | - |
Ulcer Index | 0.15 | 0.0 |
Serenity Index | -0.31 | - |
Avg. Up Month | 3.27% | 0.59% |
Avg. Down Month | - | - |
Win Days | 49.54% | 100.0% |
Win Month | 58.33% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | -6.5 | - |
Alpha | 0.05 | - |
Correlation | -2.33% | - |
Treynor Ratio | 6.29% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.22 | -7.15 | -1.69 | - |
2022 | 2.61 | -36.33 | -13.90 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-06-02 | 2022-07-12 | -48.16 | 405 |
2021-05-04 | 2021-06-01 | -5.54 | 28 |