Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 94.0% |
Cumulative Return | -13.66% | -10.73% |
CAGR﹪ | -46.79% | -38.57% |
Sharpe | -5.84 | -8.1 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.99 | -5.54 |
Sortino | -6.61 | -7.81 |
Smart Sortino | -4.52 | -5.34 |
Sortino/√2 | -4.67 | -5.52 |
Smart Sortino/√2 | -3.2 | -3.78 |
Omega | 0.33 | 0.33 |
Max Drawdown | -15.94% | -17.23% |
Longest DD Days | 53 | 58 |
Volatility (ann.) | 44.81% | 31.16% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | -2.93 | -2.24 |
Skew | -0.05 | -0.37 |
Kurtosis | 8.67 | 0.58 |
Expected Daily | -0.25% | -0.19% |
Expected Monthly | -4.78% | -3.71% |
Expected Yearly | -7.08% | -5.52% |
Kelly Criterion | -5.85% | -6.49% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.85% | -3.4% |
Expected Shortfall (cVaR) | -4.85% | -3.4% |
Max Consecutive Wins | 3 | 4 |
Max Consecutive Losses | 7 | 5 |
Gain/Pain Ratio | -0.21 | -0.2 |
Gain/Pain (1M) | -0.81 | -0.75 |
Payoff Ratio | 1.35 | 1.05 |
Profit Factor | 0.79 | 0.8 |
Common Sense Ratio | 0.95 | 0.68 |
CPC Index | 0.42 | 0.38 |
Tail Ratio | 1.2 | 0.85 |
Outlier Win Ratio | 3.14 | 4.15 |
Outlier Loss Ratio | 3.84 | 3.91 |
MTD | -7.28% | -3.61% |
3M | -13.66% | -10.73% |
6M | -13.66% | -10.73% |
YTD | -15.94% | -13.54% |
1Y | -13.66% | -10.73% |
3Y (ann.) | -46.79% | -38.57% |
5Y (ann.) | -46.79% | -38.57% |
10Y (ann.) | -46.79% | -38.57% |
All-time (ann.) | -46.79% | -38.57% |
Best Day | 11.05% | 4.09% |
Worst Day | -12.22% | -5.62% |
Best Month | 2.71% | 3.25% |
Worst Month | -9.34% | -10.3% |
Best Year | 2.71% | 3.25% |
Worst Year | -15.94% | -13.54% |
Avg. Drawdown | -6.27% | -7.78% |
Avg. Drawdown Days | 19 | 26 |
Recovery Factor | -0.86 | -0.62 |
Ulcer Index | 0.08 | 0.08 |
Serenity Index | -18.25 | -12.94 |
Avg. Up Month | 2.71% | 3.25% |
Avg. Down Month | -8.31% | -6.95% |
Win Days | 39.29% | 45.45% |
Win Month | 33.33% | 33.33% |
Win Quarter | 50.0% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | -0.04 | - |
Alpha | -0.55 | - |
Correlation | -2.84% | - |
Treynor Ratio | 17496.9% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.25 | 2.71 | 0.84 | - |
2022 | -13.54 | -15.94 | 1.18 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-03 | 2022-02-25 | -15.94 | 53 |
2021-12-09 | 2021-12-27 | -5.68 | 18 |
2021-12-03 | 2021-12-06 | -2.23 | 3 |
2021-12-28 | 2021-12-30 | -1.23 | 2 |