Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -66.63% | -20.6% |
CAGR% | -60.43% | -17.71% |
Sharpe | -1.07 | -0.41 |
Sortino | -1.21 | -0.47 |
Max Drawdown | -77.68% | -39.65% |
Longest DD Days | 376 | 137 |
Volatility (ann.) | 76.11% | 39.25% |
R^2 | 0.54 | 0.54 |
Calmar | -0.78 | -0.45 |
Skew | -6.01 | -8.52 |
Kurtosis | 68.71 | 117.5 |
Expected Daily % | -0.48% | -0.1% |
Expected Monthly % | -8.74% | -1.9% |
Expected Yearly % | -42.23% | -10.89% |
Kelly Criterion | -35.53% | -24.1% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -8.21% | -4.13% |
Expected Shortfall (cVaR) | -16.65% | -16.65% |
Payoff Ratio | 0.6 | 0.77 |
Profit Factor | 0.23 | 0.14 |
Common Sense Ratio | 0.18 | 0.17 |
CPC Index | 0.07 | 0.05 |
Tail Ratio | 0.8 | 1.24 |
Outlier Win Ratio | 3.21 | 8.05 |
Outlier Loss Ratio | 2.22 | 7.42 |
MTD | 24.66% | 14.56% |
3M | -50.62% | -28.99% |
6M | -59.06% | -22.77% |
YTD | -62.98% | -21.08% |
1Y | -71.07% | -20.74% |
3Y (ann.) | -60.43% | -17.71% |
5Y (ann.) | -60.43% | -17.71% |
10Y (ann.) | -60.43% | -17.71% |
All-time (ann.) | -60.43% | -17.71% |
Best Day | 15.79% | 10.7% |
Worst Day | -54.0% | -31.57% |
Best Month | 24.66% | 14.56% |
Worst Month | -60.39% | -38.01% |
Best Year | -9.84% | 0.61% |
Worst Year | -62.98% | -21.08% |
Avg. Drawdown | -15.55% | -5.11% |
Avg. Drawdown Days | 68 | 32 |
Recovery Factor | -0.86 | -0.52 |
Ulcer Index | inf | inf |
Avg. Up Month | 12.44% | 7.32% |
Avg. Down Month | -34.93% | -19.34% |
Win Days % | 49.11% | 45.85% |
Win Month % | 41.67% | 58.33% |
Win Quarter % | 33.33% | 50.0% |
Win Year % | 0.0% | 50.0% |
Beta | 1.43 | - |
Alpha | -0.58 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.61 | -9.84 | -16.24 | - |
2022 | -21.08 | -62.98 | 2.99 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-07-01 | 2022-07-12 | -77.68 | 376 |
2021-05-07 | 2021-05-25 | -7.20 | 18 |
2021-05-31 | 2021-06-11 | -3.14 | 11 |
2021-06-15 | 2021-06-17 | -2.61 | 2 |
2021-06-25 | 2021-06-28 | -2.10 | 3 |
2021-05-27 | 2021-05-28 | -0.59 | 1 |