Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | -2.67% | -8.0% |
CAGR﹪ | -2.28% | -6.85% |
Sharpe | -3.67 | -3.8 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.1 | -3.21 |
Sortino | -4.25 | -4.03 |
Smart Sortino | -3.59 | -3.41 |
Sortino/√2 | -3.01 | -2.85 |
Smart Sortino/√2 | -2.54 | -2.41 |
Omega | 0.48 | 0.48 |
Max Drawdown | -17.19% | -22.82% |
Longest DD Days | 167 | 167 |
Volatility (ann.) | 19.52% | 21.02% |
R^2 | 0.33 | 0.33 |
Information Ratio | 0.03 | 0.03 |
Calmar | -0.13 | -0.3 |
Skew | -0.94 | -3.37 |
Kurtosis | 8.46 | 24.47 |
Expected Daily | -0.02% | -0.05% |
Expected Monthly | -0.23% | -0.69% |
Expected Yearly | -1.34% | -4.08% |
Kelly Criterion | -9.87% | -14.95% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.03% | -2.22% |
Expected Shortfall (cVaR) | -2.03% | -2.22% |
Max Consecutive Wins | 5 | 7 |
Max Consecutive Losses | 4 | 5 |
Gain/Pain Ratio | -0.02 | -0.1 |
Gain/Pain (1M) | -0.08 | -0.26 |
Payoff Ratio | 0.73 | 0.6 |
Profit Factor | 0.98 | 0.9 |
Common Sense Ratio | 0.82 | 0.63 |
CPC Index | 0.38 | 0.31 |
Tail Ratio | 0.84 | 0.7 |
Outlier Win Ratio | 4.28 | 4.31 |
Outlier Loss Ratio | 3.51 | 3.18 |
MTD | -2.45% | -13.19% |
3M | -2.45% | -13.19% |
6M | -13.32% | -20.4% |
YTD | -13.32% | -20.4% |
1Y | -4.56% | -10.49% |
3Y (ann.) | -2.28% | -6.85% |
5Y (ann.) | -2.28% | -6.85% |
10Y (ann.) | -2.28% | -6.85% |
All-time (ann.) | -2.28% | -6.85% |
Best Day | 4.68% | 3.05% |
Worst Day | -7.1% | -10.63% |
Best Month | 3.81% | 7.01% |
Worst Month | -6.73% | -13.19% |
Best Year | 12.28% | 15.57% |
Worst Year | -13.32% | -20.4% |
Avg. Drawdown | -2.17% | -2.43% |
Avg. Drawdown Days | 20 | 17 |
Recovery Factor | -0.16 | -0.35 |
Ulcer Index | 0.04 | 0.04 |
Serenity Index | -4.52 | -4.11 |
Avg. Up Month | 2.34% | 2.82% |
Avg. Down Month | -3.68% | -5.28% |
Win Days | 53.59% | 57.06% |
Win Month | 58.33% | 58.33% |
Win Quarter | 60.0% | 60.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.53 | - |
Alpha | 0.03 | - |
Correlation | 57.21% | - |
Treynor Ratio | -193.24% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 15.57 | 12.28 | 0.79 | - |
2022 | -20.40 | -13.32 | 0.65 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-14 | 2022-06-30 | -17.19 | 167 |
2021-09-10 | 2021-11-05 | -6.20 | 56 |
2021-11-22 | 2021-12-15 | -3.71 | 23 |
2021-05-11 | 2021-06-28 | -2.84 | 48 |
2021-07-19 | 2021-07-23 | -1.09 | 4 |
2021-08-25 | 2021-08-31 | -0.92 | 6 |
2021-11-08 | 2021-11-18 | -0.84 | 10 |
2021-08-18 | 2021-08-23 | -0.78 | 5 |
2021-04-28 | 2021-05-05 | -0.61 | 7 |
2021-07-08 | 2021-07-09 | -0.51 | 1 |