Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 86.0% | 100.0% |
Cumulative Return | -8.03% | -5.8% |
CAGR﹪ | -7.0% | -5.05% |
Sharpe | -7.12 | -3.24 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.4 | -2.46 |
Sortino | -6.99 | -3.46 |
Smart Sortino | -5.3 | -2.63 |
Sortino/√2 | -4.95 | -2.45 |
Smart Sortino/√2 | -3.75 | -1.86 |
Omega | 0.25 | 0.25 |
Max Drawdown | -10.38% | -19.2% |
Longest DD Days | 189 | 182 |
Volatility (ann.) | 11.93% | 24.06% |
R^2 | 0.04 | 0.04 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.67 | -0.26 |
Skew | -1.88 | -3.43 |
Kurtosis | 10.88 | 20.5 |
Expected Daily | -0.06% | -0.05% |
Expected Monthly | -0.69% | -0.5% |
Expected Yearly | -4.1% | -2.94% |
Kelly Criterion | -36.42% | -14.55% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.3% | -2.53% |
Expected Shortfall (cVaR) | -1.3% | -2.53% |
Max Consecutive Wins | 4 | 7 |
Max Consecutive Losses | 4 | 4 |
Gain/Pain Ratio | -0.23 | -0.08 |
Gain/Pain (1M) | -0.54 | -0.18 |
Payoff Ratio | 0.59 | 0.63 |
Profit Factor | 0.77 | 0.92 |
Common Sense Ratio | 0.67 | 0.76 |
CPC Index | 0.22 | 0.32 |
Tail Ratio | 0.88 | 0.83 |
Outlier Win Ratio | 5.36 | 2.7 |
Outlier Loss Ratio | 6.6 | 4.12 |
MTD | -4.67% | -1.32% |
3M | -3.77% | -11.8% |
6M | -9.12% | -17.56% |
YTD | -9.99% | -18.89% |
1Y | -9.19% | -10.35% |
3Y (ann.) | -7.0% | -5.05% |
5Y (ann.) | -7.0% | -5.05% |
10Y (ann.) | -7.0% | -5.05% |
All-time (ann.) | -7.0% | -5.05% |
Best Day | 2.05% | 2.96% |
Worst Day | -4.67% | -10.63% |
Best Month | 3.57% | 6.79% |
Worst Month | -4.78% | -10.63% |
Best Year | 2.18% | 16.14% |
Worst Year | -9.99% | -18.89% |
Avg. Drawdown | -1.75% | -1.73% |
Avg. Drawdown Days | 34 | 13 |
Recovery Factor | -0.77 | -0.3 |
Ulcer Index | 0.02 | 0.03 |
Serenity Index | -15.09 | -8.22 |
Avg. Up Month | 1.29% | 2.55% |
Avg. Down Month | -3.21% | -5.11% |
Win Days | 49.55% | 55.81% |
Win Month | 50.0% | 66.67% |
Win Quarter | 66.67% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.09 | - |
Alpha | -0.15 | - |
Correlation | 18.82% | - |
Treynor Ratio | -1157.47% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 16.14 | 2.18 | 0.13 | - |
2022 | -18.89 | -9.99 | 0.53 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-12-29 | 2022-07-06 | -10.38 | 189 |
2021-09-14 | 2021-12-28 | -3.80 | 105 |
2021-07-08 | 2021-09-01 | -1.25 | 55 |
2021-05-19 | 2021-05-24 | -0.97 | 5 |
2021-06-14 | 2021-06-24 | -0.82 | 10 |
2021-09-08 | 2021-09-13 | -0.74 | 5 |
2021-06-01 | 2021-06-03 | -0.37 | 2 |
2021-06-10 | 2021-06-11 | -0.37 | 1 |
2021-06-25 | 2021-06-29 | -0.30 | 4 |
2021-05-12 | 2021-05-14 | -0.15 | 2 |