Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | -34.94% | 7.02% |
CAGR﹪ | -30.11% | 5.82% |
Sharpe | -0.38 | 17.81 |
Prob. Sharpe Ratio | 36.03% | 100.0% |
Smart Sharpe | -0.37 | 17.38 |
Sortino | -0.55 | 42.29 |
Smart Sortino | -0.53 | 41.27 |
Sortino/√2 | -0.39 | 29.9 |
Smart Sortino/√2 | -0.38 | 29.18 |
Omega | 0.9 | 0.9 |
Max Drawdown | -48.55% | -0.74% |
Longest DD Days | 276 | 32 |
Volatility (ann.) | 65.52% | 0.41% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.03 | -0.03 |
Calmar | -0.62 | 7.88 |
Skew | 1.12 | -1.24 |
Kurtosis | 48.28 | 1.46 |
Expected Daily | -0.18% | 0.03% |
Expected Monthly | -3.25% | 0.52% |
Expected Yearly | -19.34% | 3.45% |
Kelly Criterion | -176.29% | 82.46% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.89% | -0.01% |
Expected Shortfall (cVaR) | -6.89% | -0.01% |
Max Consecutive Wins | 7 | 210 |
Max Consecutive Losses | 6 | 22 |
Gain/Pain Ratio | -0.1 | 9.16 |
Gain/Pain (1M) | -0.31 | 9.16 |
Payoff Ratio | 0.23 | 1.18 |
Profit Factor | 0.9 | 10.16 |
Common Sense Ratio | 0.8 | 26.22 |
CPC Index | 0.1 | 10.82 |
Tail Ratio | 0.89 | 2.58 |
Outlier Win Ratio | 2.86 | 137.48 |
Outlier Loss Ratio | 2.74 | 159.42 |
MTD | 7.31% | -0.39% |
3M | -40.84% | -0.74% |
6M | -29.4% | 1.12% |
YTD | -31.2% | 1.42% |
1Y | -34.62% | 5.4% |
3Y (ann.) | -30.11% | 5.82% |
5Y (ann.) | -30.11% | 5.82% |
10Y (ann.) | -30.11% | 5.82% |
All-time (ann.) | -30.11% | 5.82% |
Best Day | 38.01% | 0.06% |
Worst Day | -32.97% | -0.05% |
Best Month | 17.93% | 1.17% |
Worst Month | -44.87% | -0.39% |
Best Year | -5.44% | 5.53% |
Worst Year | -31.2% | 1.42% |
Avg. Drawdown | -11.19% | -0.74% |
Avg. Drawdown Days | 61 | 32 |
Recovery Factor | -0.72 | 9.51 |
Ulcer Index | 0.19 | 0.0 |
Serenity Index | -0.23 | 6.9 |
Avg. Up Month | 8.52% | 0.86% |
Avg. Down Month | -44.87% | -0.35% |
Win Days | 48.66% | 90.52% |
Win Month | 50.0% | 83.33% |
Win Quarter | 50.0% | 66.67% |
Win Year | 0.0% | 100.0% |
Beta | 17.12 | - |
Alpha | -1.51 | - |
Correlation | 10.77% | - |
Treynor Ratio | -2.04% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 5.53 | -5.44 | -0.98 | - |
2022 | 1.42 | -31.20 | -22.02 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2022-07-12 | -48.55 | 137 |
2021-05-24 | 2022-02-24 | -24.66 | 276 |
2021-05-11 | 2021-05-17 | -3.07 | 6 |
2021-05-18 | 2021-05-19 | -0.72 | 1 |
2021-05-20 | 2021-05-21 | -0.63 | 1 |
2021-05-05 | 2021-05-06 | -0.39 | 1 |
2021-05-07 | 2021-05-10 | -0.29 | 3 |