Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | -6.24% | 2.53% |
CAGR﹪ | -22.13% | 10.17% |
Sharpe | -0.18 | 31.91 |
Prob. Sharpe Ratio | 46.4% | 100.0% |
Smart Sharpe | -0.1 | 18.08 |
Sortino | -0.29 | - |
Smart Sortino | -0.17 | - |
Sortino/√2 | -0.21 | - |
Smart Sortino/√2 | -0.12 | - |
Omega | 0.96 | 0.96 |
Max Drawdown | -14.53% | - |
Longest DD Days | - | - |
Volatility (ann.) | 55.38% | 0.3% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | -1.52 | - |
Skew | 1.94 | 2.68 |
Kurtosis | 20.98 | 7.15 |
Expected Daily | -0.1% | 0.04% |
Expected Monthly | -1.6% | 0.63% |
Expected Yearly | -3.17% | 1.26% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.78% | -0.01% |
Expected Shortfall (cVaR) | -5.78% | -0.01% |
Max Consecutive Wins | 6 | 65 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | -0.04 | - |
Gain/Pain (1M) | -0.33 | - |
Payoff Ratio | - | - |
Profit Factor | 0.96 | - |
Common Sense Ratio | 1.07 | - |
CPC Index | - | - |
Tail Ratio | 1.12 | 3.42 |
Outlier Win Ratio | 2.71 | 130.99 |
Outlier Loss Ratio | 2.39 | - |
MTD | -0.47% | 0.71% |
3M | -8.09% | 2.42% |
6M | -6.24% | 2.53% |
YTD | -6.58% | 1.36% |
1Y | -6.24% | 2.53% |
3Y (ann.) | -22.13% | 10.17% |
5Y (ann.) | -22.13% | 10.17% |
10Y (ann.) | -22.13% | 10.17% |
All-time (ann.) | -22.13% | 10.17% |
Best Day | 20.14% | 0.1% |
Worst Day | -14.53% | 0.0% |
Best Month | 2.57% | 0.71% |
Worst Month | -6.14% | 0.5% |
Best Year | 0.36% | 1.36% |
Worst Year | -6.58% | 1.15% |
Avg. Drawdown | -13.09% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.43 | - |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | -0.25 | - |
Avg. Up Month | 2.57% | 0.64% |
Avg. Down Month | - | - |
Win Days | 46.15% | 100.0% |
Win Month | 25.0% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | -5.01 | - |
Alpha | 0.38 | - |
Correlation | -2.7% | - |
Treynor Ratio | 1.25% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.15 | 0.36 | 0.32 | - |
2022 | 1.36 | -6.58 | -4.82 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2022-02-25 | -14.53 | 0 |
2021-11-25 | 2022-02-24 | -11.64 | 91 |