Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 93.0% | 91.0% |
Cumulative Return | -2.93% | -3.59% |
CAGR﹪ | -11.13% | -13.52% |
Sharpe | -23.51 | -33.28 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -18.13 | -25.66 |
Sortino | -13.23 | -14.35 |
Smart Sortino | -10.2 | -11.07 |
Sortino/√2 | -9.36 | -10.15 |
Smart Sortino/√2 | -7.21 | -7.82 |
Omega | 0.02 | 0.02 |
Max Drawdown | -5.51% | -4.91% |
Longest DD Days | 58 | 57 |
Volatility (ann.) | 9.37% | 6.71% |
R^2 | 0.36 | 0.36 |
Information Ratio | 0.02 | 0.02 |
Calmar | -2.02 | -2.75 |
Skew | -0.02 | -0.21 |
Kurtosis | -0.04 | 0.23 |
Expected Daily | -0.05% | -0.06% |
Expected Monthly | -0.74% | -0.91% |
Expected Yearly | -1.48% | -1.81% |
Kelly Criterion | -5.85% | -27.94% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.02% | -0.75% |
Expected Shortfall (cVaR) | -1.02% | -0.75% |
Max Consecutive Wins | 3 | 4 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.18 | -0.3 |
Gain/Pain (1M) | -0.56 | -0.68 |
Payoff Ratio | 0.96 | 0.7 |
Profit Factor | 0.82 | 0.7 |
Common Sense Ratio | 0.74 | 0.6 |
CPC Index | 0.38 | 0.23 |
Tail Ratio | 0.9 | 0.87 |
Outlier Win Ratio | 2.64 | 4.05 |
Outlier Loss Ratio | 2.16 | 2.83 |
MTD | -1.49% | -2.06% |
3M | -2.93% | -3.59% |
6M | -2.93% | -3.59% |
YTD | -4.07% | -4.82% |
1Y | -2.93% | -3.59% |
3Y (ann.) | -11.13% | -13.52% |
5Y (ann.) | -11.13% | -13.52% |
10Y (ann.) | -11.13% | -13.52% |
All-time (ann.) | -11.13% | -13.52% |
Best Day | 1.29% | 0.92% |
Worst Day | -1.31% | -1.2% |
Best Month | 2.22% | 1.67% |
Worst Month | -2.62% | -2.82% |
Best Year | 1.19% | 1.29% |
Worst Year | -4.07% | -4.82% |
Avg. Drawdown | -1.81% | -1.78% |
Avg. Drawdown Days | 16 | 21 |
Recovery Factor | -0.53 | -0.73 |
Ulcer Index | 0.03 | 0.02 |
Serenity Index | -31.96 | -29.17 |
Avg. Up Month | 2.22% | 1.67% |
Avg. Down Month | -1.71% | -1.75% |
Win Days | 48.28% | 47.37% |
Win Month | 25.0% | 25.0% |
Win Quarter | 50.0% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.83 | - |
Alpha | 0.01 | - |
Correlation | 59.73% | - |
Treynor Ratio | -842.42% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.29 | 1.19 | 0.92 | - |
2022 | -4.82 | -4.07 | 0.84 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-12-29 | 2022-02-25 | -5.51 | 58 |
2021-11-26 | 2021-11-29 | -1.19 | 3 |
2021-11-30 | 2021-12-07 | -1.01 | 7 |
2021-12-15 | 2021-12-24 | -0.73 | 9 |
2021-12-08 | 2021-12-13 | -0.64 | 5 |