Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 95.0% | 100.0% |
Cumulative Return | -21.46% | -20.6% |
CAGR﹪ | -18.46% | -17.71% |
Sharpe | -0.37 | -0.41 |
Prob. Sharpe Ratio | 34.68% | 33.06% |
Smart Sharpe | -0.35 | -0.39 |
Sortino | -0.42 | -0.47 |
Smart Sortino | -0.39 | -0.44 |
Sortino/√2 | -0.29 | -0.33 |
Smart Sortino/√2 | -0.28 | -0.31 |
Omega | 0.89 | 0.89 |
Max Drawdown | -41.68% | -39.65% |
Longest DD Days | 187 | 137 |
Volatility (ann.) | 42.32% | 39.35% |
R^2 | 0.8 | 0.8 |
Information Ratio | 0.0 | 0.0 |
Calmar | -0.44 | -0.45 |
Skew | -8.54 | -8.49 |
Kurtosis | 110.59 | 116.83 |
Expected Daily | -0.11% | -0.1% |
Expected Monthly | -1.99% | -1.9% |
Expected Yearly | -11.38% | -10.89% |
Kelly Criterion | -9.63% | -9.05% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.45% | -4.14% |
Expected Shortfall (cVaR) | -4.45% | -4.14% |
Max Consecutive Wins | 5 | 5 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.11 | -0.14 |
Gain/Pain (1M) | -0.28 | -0.32 |
Payoff Ratio | 0.78 | 0.98 |
Profit Factor | 0.89 | 0.86 |
Common Sense Ratio | 0.9 | 1.07 |
CPC Index | 0.36 | 0.39 |
Tail Ratio | 1.01 | 1.24 |
Outlier Win Ratio | 5.45 | 5.93 |
Outlier Loss Ratio | 2.96 | 4.34 |
MTD | 15.38% | 14.56% |
3M | -29.82% | -28.99% |
6M | -27.83% | -20.83% |
YTD | -30.58% | -21.08% |
1Y | -24.26% | -20.74% |
3Y (ann.) | -18.46% | -17.71% |
5Y (ann.) | -18.46% | -17.71% |
10Y (ann.) | -18.46% | -17.71% |
All-time (ann.) | -18.46% | -17.71% |
Best Day | 8.44% | 10.7% |
Worst Day | -33.58% | -31.57% |
Best Month | 15.38% | 14.56% |
Worst Month | -39.17% | -38.01% |
Best Year | 13.14% | 0.61% |
Worst Year | -30.58% | -21.08% |
Avg. Drawdown | -4.75% | -5.15% |
Avg. Drawdown Days | 28 | 32 |
Recovery Factor | -0.51 | -0.52 |
Ulcer Index | 0.11 | 0.11 |
Serenity Index | -0.23 | -0.22 |
Avg. Up Month | 5.69% | 4.54% |
Avg. Down Month | -15.1% | -13.25% |
Win Days | 52.07% | 46.05% |
Win Month | 66.67% | 58.33% |
Win Quarter | 66.67% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.96 | - |
Alpha | -0.0 | - |
Correlation | 89.69% | - |
Treynor Ratio | -22.25% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.61 | 13.14 | 21.68 | + |
2022 | -21.08 | -30.58 | 1.45 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-07-12 | -41.68 | 187 |
2021-08-24 | 2021-11-22 | -8.19 | 90 |
2021-11-29 | 2021-12-16 | -4.69 | 17 |
2021-05-11 | 2021-07-02 | -3.93 | 52 |
2021-12-17 | 2021-12-28 | -1.87 | 11 |
2021-08-19 | 2021-08-20 | -1.06 | 1 |
2021-11-23 | 2021-11-26 | -1.03 | 3 |
2022-01-03 | 2022-01-05 | -0.91 | 2 |
2021-07-29 | 2021-08-06 | -0.88 | 8 |
2021-07-19 | 2021-07-28 | -0.69 | 9 |