Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -70.77% | 7.02% |
CAGR﹪ | -64.12% | 5.82% |
Sharpe | -1.22 | 17.81 |
Prob. Sharpe Ratio | 7.22% | 100.0% |
Smart Sharpe | -1.18 | 17.2 |
Sortino | -1.39 | 42.29 |
Smart Sortino | -1.34 | 40.84 |
Sortino/√2 | -0.98 | 29.9 |
Smart Sortino/√2 | -0.95 | 28.87 |
Omega | 0.74 | 0.74 |
Max Drawdown | -77.68% | -0.74% |
Longest DD Days | 376 | 32 |
Volatility (ann.) | 76.62% | 0.41% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.08 | -0.08 |
Calmar | -0.83 | 7.88 |
Skew | -5.81 | -1.24 |
Kurtosis | 65.74 | 1.46 |
Expected Daily | -0.53% | 0.03% |
Expected Monthly | -9.03% | 0.52% |
Expected Yearly | -45.93% | 3.45% |
Kelly Criterion | -227.01% | 81.76% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -8.31% | -0.01% |
Expected Shortfall (cVaR) | -8.31% | -0.01% |
Max Consecutive Wins | 6 | 210 |
Max Consecutive Losses | 6 | 22 |
Gain/Pain Ratio | -0.26 | 9.16 |
Gain/Pain (1M) | -0.65 | 9.16 |
Payoff Ratio | 0.18 | 1.08 |
Profit Factor | 0.74 | 10.16 |
Common Sense Ratio | 0.56 | 26.22 |
CPC Index | 0.07 | 9.96 |
Tail Ratio | 0.76 | 2.58 |
Outlier Win Ratio | 1.98 | 119.08 |
Outlier Loss Ratio | 1.57 | 137.41 |
MTD | 24.66% | -0.39% |
3M | -50.62% | -0.74% |
6M | -58.01% | 1.12% |
YTD | -62.98% | 1.42% |
1Y | -71.07% | 5.4% |
3Y (ann.) | -64.12% | 5.82% |
5Y (ann.) | -64.12% | 5.82% |
10Y (ann.) | -64.12% | 5.82% |
All-time (ann.) | -64.12% | 5.82% |
Best Day | 15.79% | 0.06% |
Worst Day | -54.0% | -0.05% |
Best Month | 24.66% | 1.17% |
Worst Month | -60.39% | -0.39% |
Best Year | -21.03% | 5.53% |
Worst Year | -62.98% | 1.42% |
Avg. Drawdown | -32.83% | -0.74% |
Avg. Drawdown Days | 143 | 32 |
Recovery Factor | -0.91 | 9.51 |
Ulcer Index | 0.31 | 0.0 |
Serenity Index | -0.2 | 6.9 |
Avg. Up Month | 7.89% | 0.66% |
Avg. Down Month | -60.39% | -0.35% |
Win Days | 49.34% | 90.52% |
Win Month | 33.33% | 83.33% |
Win Quarter | 33.33% | 66.67% |
Win Year | 0.0% | 100.0% |
Beta | 7.86 | - |
Alpha | -1.51 | - |
Correlation | 4.23% | - |
Treynor Ratio | -9.01% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 5.53 | -21.03 | -3.81 | - |
2022 | 1.42 | -62.98 | -44.45 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-07-01 | 2022-07-12 | -77.68 | 376 |
2021-05-04 | 2021-06-24 | -18.72 | 51 |
2021-06-25 | 2021-06-28 | -2.10 | 3 |