Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | -26.25% | -20.6% |
CAGR﹪ | -22.69% | -17.71% |
Sharpe | -0.45 | -0.41 |
Prob. Sharpe Ratio | 31.52% | 33.05% |
Smart Sharpe | -0.45 | -0.41 |
Sortino | -0.51 | -0.47 |
Smart Sortino | -0.51 | -0.47 |
Sortino/√2 | -0.36 | -0.33 |
Smart Sortino/√2 | -0.36 | -0.33 |
Omega | 0.86 | 0.86 |
Max Drawdown | -43.76% | -39.65% |
Longest DD Days | 188 | 137 |
Volatility (ann.) | 45.83% | 39.26% |
R^2 | 0.66 | 0.66 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.52 | -0.45 |
Skew | -8.11 | -8.51 |
Kurtosis | 109.04 | 117.35 |
Expected Daily | -0.13% | -0.1% |
Expected Monthly | -2.51% | -1.9% |
Expected Yearly | -14.12% | -10.89% |
Kelly Criterion | -5.59% | -19.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.83% | -4.13% |
Expected Shortfall (cVaR) | -4.83% | -4.13% |
Max Consecutive Wins | 5 | 5 |
Max Consecutive Losses | 5 | 6 |
Gain/Pain Ratio | -0.14 | -0.14 |
Gain/Pain (1M) | -0.35 | -0.32 |
Payoff Ratio | 0.87 | 0.83 |
Profit Factor | 0.86 | 0.86 |
Common Sense Ratio | 0.81 | 1.07 |
CPC Index | 0.38 | 0.33 |
Tail Ratio | 0.94 | 1.24 |
Outlier Win Ratio | 5.48 | 6.03 |
Outlier Loss Ratio | 2.99 | 4.5 |
MTD | 15.91% | 14.56% |
3M | -34.75% | -28.99% |
6M | -30.7% | -20.83% |
YTD | -31.21% | -21.08% |
1Y | -26.4% | -20.74% |
3Y (ann.) | -22.69% | -17.71% |
5Y (ann.) | -22.69% | -17.71% |
10Y (ann.) | -22.69% | -17.71% |
All-time (ann.) | -22.69% | -17.71% |
Best Day | 13.52% | 10.7% |
Worst Day | -36.17% | -31.57% |
Best Month | 15.91% | 14.56% |
Worst Month | -43.71% | -38.01% |
Best Year | 7.21% | 0.61% |
Worst Year | -31.21% | -21.08% |
Avg. Drawdown | -9.53% | -5.15% |
Avg. Drawdown Days | 59 | 32 |
Recovery Factor | -0.6 | -0.52 |
Ulcer Index | 0.12 | 0.11 |
Serenity Index | -0.26 | -0.22 |
Avg. Up Month | 5.49% | 4.54% |
Avg. Down Month | -12.27% | -10.04% |
Win Days | 50.93% | 45.85% |
Win Month | 58.33% | 58.33% |
Win Quarter | 50.0% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.95 | - |
Alpha | -0.05 | - |
Correlation | 81.14% | - |
Treynor Ratio | -27.72% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.61 | 7.21 | 11.90 | + |
2022 | -21.08 | -31.21 | 1.48 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2022-07-12 | -43.76 | 137 |
2021-05-11 | 2021-11-15 | -6.56 | 188 |
2022-01-14 | 2022-02-24 | -5.34 | 41 |
2021-11-25 | 2021-12-28 | -5.25 | 33 |
2022-01-06 | 2022-01-13 | -3.28 | 7 |
2021-11-17 | 2021-11-22 | -2.22 | 5 |
2022-01-03 | 2022-01-04 | -0.28 | 1 |