Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 93.0% | 100.0% |
Cumulative Return | -44.88% | -20.43% |
CAGR﹪ | -40.04% | -17.83% |
Sharpe | -1.01 | -0.41 |
Prob. Sharpe Ratio | 12.76% | 33.27% |
Smart Sharpe | -0.87 | -0.35 |
Sortino | -1.15 | -0.47 |
Smart Sortino | -0.99 | -0.4 |
Sortino/√2 | -0.81 | -0.33 |
Smart Sortino/√2 | -0.7 | -0.28 |
Omega | 0.76 | 0.76 |
Max Drawdown | -50.69% | -39.65% |
Longest DD Days | 281 | 137 |
Volatility (ann.) | 50.92% | 39.67% |
R^2 | 0.64 | 0.64 |
Information Ratio | -0.07 | -0.07 |
Calmar | -0.79 | -0.45 |
Skew | -5.68 | -8.43 |
Kurtosis | 65.24 | 115.14 |
Expected Daily | -0.26% | -0.1% |
Expected Monthly | -4.84% | -1.89% |
Expected Yearly | -25.76% | -10.8% |
Kelly Criterion | -26.47% | -8.0% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.48% | -4.18% |
Expected Shortfall (cVaR) | -5.48% | -4.18% |
Max Consecutive Wins | 6 | 5 |
Max Consecutive Losses | 5 | 6 |
Gain/Pain Ratio | -0.24 | -0.14 |
Gain/Pain (1M) | -0.6 | -0.32 |
Payoff Ratio | 0.63 | 1.0 |
Profit Factor | 0.76 | 0.86 |
Common Sense Ratio | 0.54 | 1.07 |
CPC Index | 0.25 | 0.4 |
Tail Ratio | 0.7 | 1.25 |
Outlier Win Ratio | 4.72 | 6.58 |
Outlier Loss Ratio | 2.79 | 6.16 |
MTD | 7.66% | 14.56% |
3M | -42.69% | -28.99% |
6M | -33.87% | -20.83% |
YTD | -35.06% | -21.08% |
1Y | -42.86% | -20.74% |
3Y (ann.) | -40.04% | -17.83% |
5Y (ann.) | -40.04% | -17.83% |
10Y (ann.) | -40.04% | -17.83% |
All-time (ann.) | -40.04% | -17.83% |
Best Day | 12.46% | 10.7% |
Worst Day | -35.32% | -31.57% |
Best Month | 12.17% | 14.56% |
Worst Month | -46.77% | -38.01% |
Best Year | -15.12% | 0.81% |
Worst Year | -35.06% | -21.08% |
Avg. Drawdown | -37.89% | -5.93% |
Avg. Drawdown Days | 209 | 37 |
Recovery Factor | -0.89 | -0.52 |
Ulcer Index | 0.2 | 0.11 |
Serenity Index | -0.2 | -0.22 |
Avg. Up Month | 5.64% | 7.46% |
Avg. Down Month | -20.89% | -13.02% |
Win Days | 50.96% | 45.98% |
Win Month | 50.0% | 58.33% |
Win Quarter | 50.0% | 50.0% |
Win Year | 0.0% | 50.0% |
Beta | 1.03 | - |
Alpha | -0.35 | - |
Correlation | 80.13% | - |
Treynor Ratio | -43.64% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.81 | -15.12 | -18.59 | - |
2022 | -21.08 | -35.06 | 1.66 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2022-07-12 | -50.69 | 137 |
2021-05-19 | 2022-02-24 | -25.09 | 281 |