Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 1.0% | 1.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -62.47% | -6.1% |
CAGR% | -55.14% | -5.02% |
Sharpe | -1.65 | -0.27 |
Sortino | -1.95 | -0.32 |
Max Drawdown | -70.12% | -22.92% |
Longest DD Days | 375 | 188 |
Volatility (ann.) | 57.11% | 19.37% |
R^2 | 0.37 | 0.37 |
Calmar | -0.79 | -0.22 |
Skew | -2.33 | -3.45 |
Kurtosis | 17.66 | 27.08 |
Expected Daily % | -0.44% | -0.03% |
Expected Monthly % | -7.26% | -0.48% |
Expected Yearly % | -38.74% | -3.1% |
Kelly Criterion | -22.42% | -8.2% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.29% | -2.03% |
Expected Shortfall (cVaR) | -10.51% | -10.51% |
Payoff Ratio | 0.72 | 0.71 |
Profit Factor | 0.28 | 0.05 |
Common Sense Ratio | 0.19 | 0.04 |
CPC Index | 0.1 | 0.02 |
Tail Ratio | 0.67 | 0.8 |
Outlier Win Ratio | 2.29 | 6.8 |
Outlier Loss Ratio | 2.04 | 6.39 |
MTD | 11.85% | 1.86% |
3M | -27.47% | -11.52% |
6M | -45.54% | -17.2% |
YTD | -51.64% | -18.61% |
1Y | -62.59% | -10.44% |
3Y (ann.) | -55.32% | -5.04% |
5Y (ann.) | -55.32% | -5.04% |
10Y (ann.) | -55.32% | -5.04% |
All-time (ann.) | -55.32% | -5.04% |
Best Day | 12.01% | 3.29% |
Worst Day | -28.54% | -10.59% |
Best Month | 15.71% | 6.98% |
Worst Month | -35.15% | -13.14% |
Best Year | -22.39% | 15.37% |
Worst Year | -51.64% | -18.61% |
Avg. Drawdown | -30.39% | -2.05% |
Avg. Drawdown Days | 146 | 14 |
Recovery Factor | -0.89 | -0.27 |
Ulcer Index | inf | inf |
Avg. Up Month | 9.33% | 3.55% |
Avg. Down Month | -18.24% | -5.32% |
Win Days % | 48.6% | 55.25% |
Win Month % | 30.77% | 61.54% |
Win Quarter % | 33.33% | 66.67% |
Win Year % | 0.0% | 50.0% |
Beta | 1.78 | - |
Alpha | -0.85 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 15.42 | -22.49 | -1.46 | - |
2022 | -18.67 | -51.81 | 2.77 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-07-01 | 2022-07-11 | -70.28 | 375 |
2021-04-28 | 2021-06-28 | -21.01 | 61 |
2021-04-26 | 2021-04-27 | -0.10 | 1 |