Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 92.0% | 100.0% |
Cumulative Return | -29.46% | -37.4% |
CAGR% | -25.4% | -32.52% |
Sharpe | -0.58 | -0.79 |
Sortino | -0.71 | -0.92 |
Max Drawdown | -44.4% | -51.09% |
Longest DD Days | 152 | 264 |
Volatility (ann.) | 46.23% | 48.52% |
R^2 | 0.0 | 0.0 |
Calmar | -0.58 | -0.64 |
Skew | -3.44 | -4.64 |
Kurtosis | 43.82 | 67.61 |
Expected Daily % | -0.15% | -0.2% |
Expected Monthly % | -2.87% | -3.83% |
Expected Yearly % | -16.01% | -20.88% |
Kelly Criterion | -23.2% | -11.01% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.9% | -5.18% |
Expected Shortfall (cVaR) | -13.51% | -13.51% |
Payoff Ratio | 0.78 | 0.69 |
Profit Factor | 0.18 | 0.21 |
Common Sense Ratio | 0.17 | 0.14 |
CPC Index | 0.06 | 0.08 |
Tail Ratio | 0.96 | 0.68 |
Outlier Win Ratio | 6.44 | 5.97 |
Outlier Loss Ratio | 6.88 | 5.16 |
MTD | 16.25% | -2.52% |
3M | -33.84% | -12.69% |
6M | -32.18% | -42.11% |
YTD | -30.78% | -42.61% |
1Y | -30.16% | -42.06% |
3Y (ann.) | -25.53% | -32.68% |
5Y (ann.) | -25.53% | -32.68% |
10Y (ann.) | -25.53% | -32.68% |
All-time (ann.) | -25.53% | -32.68% |
Best Day | 15.27% | 19.97% |
Worst Day | -27.83% | -33.14% |
Best Month | 16.25% | 5.01% |
Worst Month | -43.09% | -29.87% |
Best Year | 1.91% | 9.07% |
Worst Year | -30.78% | -42.61% |
Avg. Drawdown | -9.6% | -3.87% |
Avg. Drawdown Days | 58 | 22 |
Recovery Factor | -0.66 | -0.73 |
Ulcer Index | inf | inf |
Avg. Up Month | 0.71% | 3.67% |
Avg. Down Month | -21.65% | -5.27% |
Win Days % | 46.19% | 54.82% |
Win Month % | 58.33% | 41.67% |
Win Quarter % | 50.0% | 33.33% |
Win Year % | 50.0% | 50.0% |
Beta | -0.04 | - |
Alpha | -0.28 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 9.10 | 1.91 | 0.21 | - |
2022 | -42.78 | -30.93 | 0.72 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2022-07-12 | -44.56 | 137 |
2022-01-27 | 2022-02-24 | -8.02 | 28 |
2021-07-08 | 2021-12-07 | -6.65 | 152 |
2022-01-10 | 2022-01-21 | -2.90 | 11 |
2021-05-07 | 2021-07-02 | -2.82 | 56 |
2021-12-08 | 2021-12-29 | -2.18 | 21 |
2022-01-03 | 2022-01-04 | -0.30 | 1 |