Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | -20.01% | -19.5% |
CAGR﹪ | -11.45% | -11.14% |
Sharpe | -8.46 | -6.47 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.47 | -5.71 |
Sortino | -7.86 | -6.65 |
Smart Sortino | -6.94 | -5.87 |
Sortino/√2 | -5.56 | -4.7 |
Smart Sortino/√2 | -4.9 | -4.15 |
Omega | 0.17 | 0.17 |
Max Drawdown | -47.79% | -47.55% |
Longest DD Days | 552 | 559 |
Volatility (ann.) | 25.77% | 33.26% |
R^2 | 0.18 | 0.18 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.24 | -0.23 |
Skew | -2.8 | -3.62 |
Kurtosis | 22.87 | 70.04 |
Expected Daily | -0.05% | -0.05% |
Expected Monthly | -0.97% | -0.94% |
Expected Yearly | -7.17% | -6.97% |
Kelly Criterion | -3.06% | -5.39% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.71% | -3.47% |
Expected Shortfall (cVaR) | -2.71% | -3.47% |
Max Consecutive Wins | 8 | 8 |
Max Consecutive Losses | 8 | 5 |
Gain/Pain Ratio | -0.07 | -0.05 |
Gain/Pain (1M) | -0.21 | -0.16 |
Payoff Ratio | 0.85 | 0.76 |
Profit Factor | 0.93 | 0.95 |
Common Sense Ratio | 0.79 | 0.83 |
CPC Index | 0.42 | 0.4 |
Tail Ratio | 0.85 | 0.87 |
Outlier Win Ratio | 3.94 | 3.69 |
Outlier Loss Ratio | 4.54 | 4.06 |
MTD | -2.44% | -1.83% |
3M | 14.25% | 14.88% |
6M | 20.09% | 20.7% |
YTD | 19.03% | 19.11% |
1Y | 8.08% | 8.1% |
3Y (ann.) | -11.45% | -11.14% |
5Y (ann.) | -11.45% | -11.14% |
10Y (ann.) | -11.45% | -11.14% |
All-time (ann.) | -11.45% | -11.14% |
Best Day | 6.76% | 17.69% |
Worst Day | -15.27% | -26.6% |
Best Month | 17.94% | 17.79% |
Worst Month | -22.36% | -20.39% |
Best Year | 19.03% | 19.11% |
Worst Year | -33.79% | -33.62% |
Avg. Drawdown | -5.47% | -6.05% |
Avg. Drawdown Days | 58 | 64 |
Recovery Factor | -0.42 | -0.41 |
Ulcer Index | 0.28 | 0.28 |
Serenity Index | -0.83 | -1.07 |
Avg. Up Month | 5.2% | 4.93% |
Avg. Down Month | -6.89% | -6.63% |
Win Days | 52.62% | 54.44% |
Win Month | 52.17% | 52.17% |
Win Quarter | 50.0% | 50.0% |
Win Year | 66.67% | 66.67% |
Beta | 0.33 | - |
Alpha | -0.07 | - |
Correlation | 42.65% | - |
Treynor Ratio | -2179.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.82 | 1.49 | 0.82 | - |
2022 | -33.62 | -33.79 | 1.00 | - |
2023 | 19.11 | 19.03 | 1.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-27 | 2023-05-02 | -47.79 | 552 |
2021-09-09 | 2021-10-08 | -4.94 | 29 |
2021-07-14 | 2021-07-27 | -2.32 | 13 |
2021-08-12 | 2021-08-30 | -1.76 | 18 |
2021-07-06 | 2021-07-12 | -1.22 | 6 |
2021-10-20 | 2021-10-26 | -0.76 | 6 |
2021-07-30 | 2021-08-10 | -0.52 | 11 |
2021-10-15 | 2021-10-18 | -0.43 | 3 |
2021-10-13 | 2021-10-14 | -0.37 | 1 |
2021-09-01 | 2021-09-02 | -0.05 | 1 |