Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -14.45% | -6.95% |
CAGR﹪ | -12.66% | -6.05% |
Sharpe | -2.93 | -3.66 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.72 | -3.39 |
Sortino | -3.34 | -3.95 |
Smart Sortino | -3.1 | -3.67 |
Sortino/√2 | -2.36 | -2.8 |
Smart Sortino/√2 | -2.19 | -2.59 |
Omega | 0.54 | 0.54 |
Max Drawdown | -32.02% | -22.95% |
Longest DD Days | 224 | 181 |
Volatility (ann.) | 29.52% | 21.07% |
R^2 | 0.48 | 0.48 |
Information Ratio | -0.03 | -0.03 |
Calmar | -0.4 | -0.26 |
Skew | -1.61 | -3.17 |
Kurtosis | 8.48 | 23.66 |
Expected Daily | -0.09% | -0.04% |
Expected Monthly | -1.29% | -0.6% |
Expected Yearly | -7.51% | -3.54% |
Kelly Criterion | -16.6% | -12.19% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.13% | -2.21% |
Expected Shortfall (cVaR) | -3.13% | -2.21% |
Max Consecutive Wins | 8 | 8 |
Max Consecutive Losses | 7 | 5 |
Gain/Pain Ratio | -0.11 | -0.07 |
Gain/Pain (1M) | -0.32 | -0.21 |
Payoff Ratio | 0.68 | 0.63 |
Profit Factor | 0.89 | 0.93 |
Common Sense Ratio | 0.89 | 0.74 |
CPC Index | 0.32 | 0.33 |
Tail Ratio | 1.0 | 0.8 |
Outlier Win Ratio | 3.38 | 5.1 |
Outlier Loss Ratio | 4.35 | 6.12 |
MTD | 1.29% | 1.24% |
3M | -15.24% | -12.12% |
6M | -28.88% | -19.44% |
YTD | -29.42% | -19.41% |
1Y | -20.22% | -10.67% |
3Y (ann.) | -12.66% | -6.05% |
5Y (ann.) | -12.66% | -6.05% |
10Y (ann.) | -12.66% | -6.05% |
All-time (ann.) | -12.66% | -6.05% |
Best Day | 6.48% | 3.61% |
Worst Day | -9.58% | -10.63% |
Best Month | 6.44% | 6.79% |
Worst Month | -16.32% | -13.19% |
Best Year | 21.21% | 15.47% |
Worst Year | -29.42% | -19.41% |
Avg. Drawdown | -3.61% | -2.21% |
Avg. Drawdown Days | 24 | 15 |
Recovery Factor | -0.45 | -0.3 |
Ulcer Index | 0.07 | 0.05 |
Serenity Index | -2.11 | -3.37 |
Avg. Up Month | 3.31% | 3.05% |
Avg. Down Month | -9.56% | -6.58% |
Win Days | 52.81% | 56.59% |
Win Month | 66.67% | 58.33% |
Win Quarter | 66.67% | 66.67% |
Win Year | 50.0% | 50.0% |
Beta | 0.97 | - |
Alpha | -0.1 | - |
Correlation | 69.46% | - |
Treynor Ratio | -117.63% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 15.47 | 21.21 | 1.37 | + |
2022 | -19.41 | -29.42 | 1.52 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-07-05 | -32.02 | 224 |
2021-09-03 | 2021-10-26 | -7.45 | 53 |
2021-05-11 | 2021-05-24 | -3.34 | 13 |
2021-07-14 | 2021-07-23 | -2.41 | 9 |
2021-11-08 | 2021-11-18 | -2.27 | 10 |
2021-06-01 | 2021-06-09 | -1.92 | 8 |
2021-07-27 | 2021-08-23 | -1.53 | 27 |
2021-07-08 | 2021-07-09 | -1.21 | 1 |
2021-08-25 | 2021-08-30 | -0.90 | 5 |
2021-06-18 | 2021-06-21 | -0.37 | 3 |