Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | -31.03% | -37.57% |
CAGR﹪ | -26.94% | -32.84% |
Sharpe | -4.3 | -5.08 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.85 | -4.55 |
Sortino | -4.39 | -5.35 |
Smart Sortino | -3.93 | -4.79 |
Sortino/√2 | -3.11 | -3.79 |
Smart Sortino/√2 | -2.78 | -3.39 |
Omega | 0.32 | 0.32 |
Max Drawdown | -55.96% | -51.26% |
Longest DD Days | 187 | 264 |
Volatility (ann.) | 53.92% | 48.59% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.01 | 0.01 |
Calmar | -0.48 | -0.64 |
Skew | -6.86 | -4.66 |
Kurtosis | 78.09 | 68.04 |
Expected Daily | -0.16% | -0.2% |
Expected Monthly | -3.05% | -3.85% |
Expected Yearly | -16.95% | -20.99% |
Kelly Criterion | -16.35% | -3.93% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.68% | -5.19% |
Expected Shortfall (cVaR) | -5.68% | -5.19% |
Max Consecutive Wins | 9 | 6 |
Max Consecutive Losses | 7 | 4 |
Gain/Pain Ratio | -0.1 | -0.21 |
Gain/Pain (1M) | -0.27 | -0.67 |
Payoff Ratio | 0.64 | 0.76 |
Profit Factor | 0.9 | 0.79 |
Common Sense Ratio | 0.83 | 0.54 |
CPC Index | 0.31 | 0.33 |
Tail Ratio | 0.92 | 0.68 |
Outlier Win Ratio | 3.39 | 4.68 |
Outlier Loss Ratio | 3.6 | 4.53 |
MTD | 16.64% | -2.53% |
3M | -44.33% | -12.74% |
6M | -44.81% | -42.77% |
YTD | -48.26% | -42.78% |
1Y | -35.36% | -42.23% |
3Y (ann.) | -26.94% | -32.84% |
5Y (ann.) | -26.94% | -32.84% |
10Y (ann.) | -26.94% | -32.84% |
All-time (ann.) | -26.94% | -32.84% |
Best Day | 7.61% | 20.04% |
Worst Day | -39.35% | -33.28% |
Best Month | 19.04% | 5.02% |
Worst Month | -52.27% | -30.02% |
Best Year | 33.3% | 9.1% |
Worst Year | -48.26% | -42.78% |
Avg. Drawdown | -6.58% | -4.1% |
Avg. Drawdown Days | 25 | 23 |
Recovery Factor | -0.55 | -0.73 |
Ulcer Index | 0.17 | 0.17 |
Serenity Index | -4.68 | -4.19 |
Avg. Up Month | 3.28% | 3.06% |
Avg. Down Month | -21.52% | -5.62% |
Win Days | 54.71% | 55.02% |
Win Month | 66.67% | 41.67% |
Win Quarter | 50.0% | 33.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.16 | - |
Alpha | -0.17 | - |
Correlation | 14.79% | - |
Treynor Ratio | -4454.06% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 9.10 | 33.30 | 3.66 | + |
2022 | -42.78 | -48.26 | 1.13 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-07-12 | -55.96 | 187 |
2021-09-15 | 2021-11-02 | -9.55 | 48 |
2021-11-23 | 2021-12-30 | -7.73 | 37 |
2021-05-10 | 2021-05-27 | -6.41 | 17 |
2021-08-09 | 2021-08-30 | -4.96 | 21 |
2021-07-07 | 2021-08-02 | -4.61 | 26 |
2021-06-07 | 2021-06-25 | -2.83 | 18 |
2021-08-31 | 2021-09-14 | -2.31 | 14 |
2021-06-03 | 2021-06-04 | -1.15 | 1 |
2021-11-09 | 2021-11-12 | -0.81 | 3 |