Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -20.35% | -22.48% |
CAGR﹪ | -11.61% | -12.9% |
Sharpe | -8.49 | -5.31 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.5 | -4.69 |
Sortino | -7.88 | -5.62 |
Smart Sortino | -6.96 | -4.96 |
Sortino/√2 | -5.57 | -3.97 |
Smart Sortino/√2 | -4.92 | -3.51 |
Omega | 0.16 | 0.16 |
Max Drawdown | -47.79% | -53.53% |
Longest DD Days | 552 | 558 |
Volatility (ann.) | 25.71% | 40.34% |
R^2 | 0.15 | 0.15 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.24 | -0.24 |
Skew | -2.8 | -4.29 |
Kurtosis | 22.91 | 74.62 |
Expected Daily | -0.05% | -0.06% |
Expected Monthly | -0.94% | -1.06% |
Expected Yearly | -7.3% | -8.14% |
Kelly Criterion | -2.92% | -7.48% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.7% | -4.2% |
Expected Shortfall (cVaR) | -2.7% | -4.2% |
Max Consecutive Wins | 8 | 7 |
Max Consecutive Losses | 8 | 5 |
Gain/Pain Ratio | -0.07 | -0.03 |
Gain/Pain (1M) | -0.21 | -0.12 |
Payoff Ratio | 0.85 | 0.81 |
Profit Factor | 0.93 | 0.97 |
Common Sense Ratio | 0.79 | 0.82 |
CPC Index | 0.41 | 0.41 |
Tail Ratio | 0.85 | 0.85 |
Outlier Win Ratio | 4.29 | 3.11 |
Outlier Loss Ratio | 5.49 | 4.34 |
MTD | -2.44% | -1.83% |
3M | 14.25% | 16.12% |
6M | 20.09% | 23.36% |
YTD | 19.03% | 20.55% |
1Y | 8.08% | 16.53% |
3Y (ann.) | -11.61% | -12.9% |
5Y (ann.) | -11.61% | -12.9% |
10Y (ann.) | -11.61% | -12.9% |
All-time (ann.) | -11.61% | -12.9% |
Best Day | 6.76% | 20.04% |
Worst Day | -15.27% | -33.28% |
Best Month | 17.94% | 15.56% |
Worst Month | -22.36% | -30.02% |
Best Year | 19.03% | 20.55% |
Worst Year | -33.79% | -37.26% |
Avg. Drawdown | -6.05% | -6.18% |
Avg. Drawdown Days | 65 | 58 |
Recovery Factor | -0.43 | -0.42 |
Ulcer Index | 0.28 | 0.35 |
Serenity Index | -0.84 | -0.86 |
Avg. Up Month | 5.75% | 6.25% |
Avg. Down Month | -9.03% | -10.24% |
Win Days | 52.71% | 52.02% |
Win Month | 50.0% | 58.33% |
Win Quarter | 44.44% | 55.56% |
Win Year | 66.67% | 66.67% |
Beta | 0.25 | - |
Alpha | -0.08 | - |
Correlation | 39.06% | - |
Treynor Ratio | -2893.57% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.49 | 1.07 | 0.43 | - |
2022 | -37.26 | -33.79 | 0.91 | + |
2023 | 20.55 | 19.03 | 0.93 | - |
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 |
2021-06-29 | 2021-07-12 | -1.53 | 13 |
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 |