Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -4.8% | 39.61% |
CAGR﹪ | -1.62% | 11.7% |
Sharpe | -1.93 | -3.2 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.62 | -2.67 |
Sortino | -2.57 | -3.87 |
Smart Sortino | -2.15 | -3.24 |
Sortino/√2 | -1.82 | -2.73 |
Smart Sortino/√2 | -1.52 | -2.29 |
Omega | 0.6 | 0.6 |
Max Drawdown | -42.49% | -24.49% |
Longest DD Days | 635 | 708 |
Volatility (ann.) | 33.76% | 17.55% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.04 | 0.48 |
Skew | -0.27 | -0.15 |
Kurtosis | 103.5 | 2.29 |
Expected Daily | -0.01% | 0.05% |
Expected Monthly | -0.14% | 0.93% |
Expected Yearly | -1.22% | 8.7% |
Kelly Criterion | -8.19% | 8.25% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.48% | -1.77% |
Expected Shortfall (cVaR) | -3.48% | -1.77% |
Max Consecutive Wins | 7 | 8 |
Max Consecutive Losses | 9 | 6 |
Gain/Pain Ratio | 0.03 | 0.14 |
Gain/Pain (1M) | 0.15 | 0.66 |
Payoff Ratio | 0.84 | 1.12 |
Profit Factor | 1.03 | 1.14 |
Common Sense Ratio | 1.14 | 1.24 |
CPC Index | 0.44 | 0.66 |
Tail Ratio | 1.11 | 1.09 |
Outlier Win Ratio | 3.38 | 4.07 |
Outlier Loss Ratio | 3.56 | 4.59 |
MTD | -1.23% | 3.1% |
3M | 1.83% | 10.34% |
6M | 7.19% | 23.78% |
YTD | 0.08% | 10.43% |
1Y | -12.84% | 34.28% |
3Y (ann.) | -1.73% | 9.76% |
5Y (ann.) | -1.62% | 11.7% |
10Y (ann.) | -1.62% | 11.7% |
All-time (ann.) | -1.62% | 11.7% |
Best Day | 28.96% | 5.55% |
Worst Day | -29.81% | -4.55% |
Best Month | 26.06% | 9.22% |
Worst Month | -15.62% | -9.21% |
Best Year | 12.02% | 26.29% |
Worst Year | -17.58% | -18.32% |
Avg. Drawdown | -5.01% | -1.55% |
Avg. Drawdown Days | 45 | 21 |
Recovery Factor | -0.11 | 1.62 |
Ulcer Index | 0.22 | 0.1 |
Serenity Index | -0.27 | -0.33 |
Avg. Up Month | 2.98% | 3.87% |
Avg. Down Month | -6.42% | -3.51% |
Win Days | 50.7% | 51.54% |
Win Month | 52.78% | 63.89% |
Win Quarter | 38.46% | 69.23% |
Win Year | 75.0% | 75.0% |
Beta | 0.19 | - |
Alpha | 0.02 | - |
Correlation | 9.93% | - |
Treynor Ratio | -548.79% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 22.57 | 3.03 | 0.13 | - |
2022 | -18.32 | 12.02 | -0.66 | + |
2023 | 26.29 | -17.58 | -0.67 | - |
2024 | 10.43 | 0.08 | 0.01 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-27 | 2022-05-20 | -42.49 | 205 |
2022-07-01 | 2024-03-27 | -40.84 | 635 |
2022-05-25 | 2022-06-08 | -13.14 | 14 |
2021-06-11 | 2021-09-01 | -3.57 | 82 |
2021-03-23 | 2021-04-23 | -2.98 | 31 |
2021-05-10 | 2021-05-17 | -2.26 | 7 |
2021-09-16 | 2021-10-07 | -2.07 | 21 |
2022-06-23 | 2022-06-28 | -1.92 | 5 |
2021-04-29 | 2021-05-06 | -0.98 | 7 |
2021-10-13 | 2021-10-14 | -0.91 | 1 |