Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 66.0% | 100.0% |
Cumulative Return | 2.58% | -0.8% |
CAGR﹪ | 0.86% | -0.27% |
Sharpe | -16.25 | -18.02 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -14.05 | -15.57 |
Sortino | -13.25 | -12.27 |
Smart Sortino | -11.45 | -10.61 |
Sortino/√2 | -9.37 | -8.68 |
Smart Sortino/√2 | -8.1 | -7.5 |
Omega | 0.04 | 0.04 |
Max Drawdown | -12.01% | -25.96% |
Longest DD Days | 402 | 341 |
Volatility (ann.) | 12.75% | 11.57% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.07 | -0.01 |
Skew | 10.48 | -8.67 |
Kurtosis | 233.99 | 182.54 |
Expected Daily | 0.0% | -0.0% |
Expected Monthly | 0.07% | -0.02% |
Expected Yearly | 0.64% | -0.2% |
Kelly Criterion | 8.52% | -11.6% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.31% | -1.2% |
Expected Shortfall (cVaR) | -1.31% | -1.2% |
Max Consecutive Wins | 5 | 13 |
Max Consecutive Losses | 6 | 15 |
Gain/Pain Ratio | 0.04 | 0.01 |
Gain/Pain (1M) | 0.2 | 0.03 |
Payoff Ratio | 1.37 | 0.73 |
Profit Factor | 1.04 | 1.01 |
Common Sense Ratio | 1.0 | 1.12 |
CPC Index | 0.67 | 0.39 |
Tail Ratio | 0.95 | 1.11 |
Outlier Win Ratio | 6.84 | 6.34 |
Outlier Loss Ratio | 3.58 | 5.4 |
MTD | 0.0% | -0.05% |
3M | -1.62% | -3.24% |
6M | 2.27% | 1.1% |
YTD | -1.99% | -2.52% |
1Y | -2.82% | -3.23% |
3Y (ann.) | 0.94% | -0.26% |
5Y (ann.) | 0.86% | -0.27% |
10Y (ann.) | 0.86% | -0.27% |
All-time (ann.) | 0.86% | -0.27% |
Best Day | 16.22% | 4.82% |
Worst Day | -6.87% | -13.8% |
Best Month | 15.66% | 8.42% |
Worst Month | -8.12% | -15.17% |
Best Year | 6.33% | 3.72% |
Worst Year | -1.99% | -2.62% |
Avg. Drawdown | -1.47% | -2.98% |
Avg. Drawdown Days | 45 | 73 |
Recovery Factor | 0.21 | -0.03 |
Ulcer Index | 0.06 | 0.05 |
Serenity Index | -8.42 | -11.94 |
Avg. Up Month | 2.76% | 1.64% |
Avg. Down Month | -1.82% | -2.55% |
Win Days | 47.11% | 52.78% |
Win Month | 46.15% | 47.22% |
Win Quarter | 50.0% | 46.15% |
Win Year | 25.0% | 50.0% |
Beta | -0.13 | - |
Alpha | 0.02 | - |
Correlation | -11.97% | - |
Treynor Ratio | 5284.42% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -2.62 | -1.39 | 0.53 | + |
2022 | 3.72 | 6.33 | 1.70 | + |
2023 | 0.76 | -0.19 | -0.25 | - |
2024 | -2.52 | -1.99 | 0.79 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-17 | 2022-10-24 | -12.01 | 402 |
2023-05-30 | 2024-04-25 | -6.85 | 331 |
2023-01-09 | 2023-04-26 | -2.34 | 107 |
2022-10-27 | 2022-11-22 | -2.29 | 26 |
2022-11-29 | 2022-12-12 | -1.42 | 13 |
2022-12-13 | 2022-12-14 | -1.42 | 1 |
2021-05-10 | 2021-07-30 | -1.09 | 81 |
2022-12-19 | 2023-01-06 | -0.85 | 18 |
2022-11-23 | 2022-11-28 | -0.67 | 5 |
2021-09-03 | 2021-09-14 | -0.59 | 11 |