Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 6.35% | 76.51% |
CAGR﹪ | 1.67% | 16.51% |
Sharpe | -1.92 | -2.96 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.75 | -2.69 |
Sortino | -2.28 | -3.6 |
Smart Sortino | -2.07 | -3.27 |
Sortino/√2 | -1.61 | -2.54 |
Smart Sortino/√2 | -1.46 | -2.31 |
Omega | 0.67 | 0.67 |
Max Drawdown | -51.03% | -24.49% |
Longest DD Days | 882 | 708 |
Volatility (ann.) | 32.3% | 17.44% |
R^2 | 0.05 | 0.05 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.03 | 0.67 |
Skew | -3.34 | -0.21 |
Kurtosis | 47.93 | 2.2 |
Expected Daily | 0.01% | 0.06% |
Expected Monthly | 0.14% | 1.3% |
Expected Yearly | 1.24% | 12.04% |
Kelly Criterion | -3.16% | 8.65% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.32% | -1.74% |
Expected Shortfall (cVaR) | -3.32% | -1.74% |
Max Consecutive Wins | 12 | 8 |
Max Consecutive Losses | 9 | 6 |
Gain/Pain Ratio | 0.05 | 0.19 |
Gain/Pain (1M) | 0.2 | 0.98 |
Payoff Ratio | 0.81 | 1.07 |
Profit Factor | 1.05 | 1.19 |
Common Sense Ratio | 0.98 | 1.25 |
CPC Index | 0.46 | 0.67 |
Tail Ratio | 0.94 | 1.05 |
Outlier Win Ratio | 2.91 | 4.16 |
Outlier Loss Ratio | 3.13 | 5.32 |
MTD | 0.44% | 3.1% |
3M | 5.75% | 10.34% |
6M | 12.13% | 23.78% |
YTD | 4.53% | 10.43% |
1Y | 12.35% | 34.28% |
3Y (ann.) | -7.88% | 9.76% |
5Y (ann.) | 1.67% | 16.51% |
10Y (ann.) | 1.67% | 16.51% |
All-time (ann.) | 1.67% | 16.51% |
Best Day | 11.69% | 5.55% |
Worst Day | -28.55% | -4.55% |
Best Month | 18.25% | 10.95% |
Worst Month | -29.06% | -9.21% |
Best Year | 21.58% | 29.88% |
Worst Year | -26.47% | -18.32% |
Avg. Drawdown | -4.33% | -1.49% |
Avg. Drawdown Days | 46 | 16 |
Recovery Factor | 0.12 | 3.12 |
Ulcer Index | 0.26 | 0.09 |
Serenity Index | -0.16 | -0.15 |
Avg. Up Month | 4.68% | 4.35% |
Avg. Down Month | -9.18% | -3.59% |
Win Days | 53.97% | 52.83% |
Win Month | 61.36% | 63.64% |
Win Quarter | 66.67% | 73.33% |
Win Year | 80.0% | 80.0% |
Beta | 0.4 | - |
Alpha | 0.0 | - |
Correlation | 21.83% | - |
Treynor Ratio | -231.73% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 19.31 | 21.58 | 1.12 | + |
2021 | 29.88 | 8.08 | 0.27 | - |
2022 | -18.32 | -26.47 | 1.44 | - |
2023 | 26.29 | 5.31 | 0.20 | - |
2024 | 10.43 | 4.53 | 0.43 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-27 | 2024-03-27 | -51.03 | 882 |
2020-08-14 | 2020-11-16 | -14.19 | 94 |
2021-06-15 | 2021-10-07 | -9.22 | 114 |
2021-01-15 | 2021-03-12 | -7.90 | 56 |
2021-03-16 | 2021-04-23 | -7.38 | 38 |
2020-12-18 | 2020-12-28 | -4.78 | 10 |
2021-04-27 | 2021-05-07 | -3.89 | 10 |
2020-07-28 | 2020-08-05 | -3.46 | 8 |
2021-10-21 | 2021-10-25 | -2.31 | 4 |
2020-11-30 | 2020-12-02 | -2.24 | 2 |