Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 13.6% | -11.71% |
CAGR﹪ | 5.92% | -5.46% |
Sharpe | -6.21 | -5.64 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.05 | -4.59 |
Sortino | -6.53 | -5.84 |
Smart Sortino | -5.31 | -4.75 |
Sortino/√2 | -4.62 | -4.13 |
Smart Sortino/√2 | -3.75 | -3.36 |
Omega | 0.25 | 0.25 |
Max Drawdown | -43.69% | -53.53% |
Longest DD Days | 334 | 558 |
Volatility (ann.) | 31.74% | 36.8% |
R^2 | 0.1 | 0.1 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.14 | -0.1 |
Skew | -2.9 | -5.21 |
Kurtosis | 48.11 | 97.46 |
Expected Daily | 0.03% | -0.03% |
Expected Monthly | 0.51% | -0.5% |
Expected Yearly | 4.34% | -4.07% |
Kelly Criterion | -4.4% | 2.91% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.24% | -3.81% |
Expected Shortfall (cVaR) | -3.24% | -3.81% |
Max Consecutive Wins | 9 | 7 |
Max Consecutive Losses | 12 | 5 |
Gain/Pain Ratio | 0.09 | 0.01 |
Gain/Pain (1M) | 0.32 | 0.03 |
Payoff Ratio | 0.81 | 0.89 |
Profit Factor | 1.09 | 1.01 |
Common Sense Ratio | 1.29 | 0.88 |
CPC Index | 0.47 | 0.49 |
Tail Ratio | 1.18 | 0.88 |
Outlier Win Ratio | 3.66 | 3.73 |
Outlier Loss Ratio | 4.99 | 4.63 |
MTD | -2.65% | -1.83% |
3M | 5.57% | 16.12% |
6M | 25.76% | 23.36% |
YTD | 8.03% | 20.55% |
1Y | -8.23% | 15.34% |
3Y (ann.) | 5.92% | -5.46% |
5Y (ann.) | 5.92% | -5.46% |
10Y (ann.) | 5.92% | -5.46% |
All-time (ann.) | 5.92% | -5.46% |
Best Day | 12.69% | 20.04% |
Worst Day | -23.86% | -33.28% |
Best Month | 25.97% | 15.56% |
Worst Month | -41.8% | -30.02% |
Best Year | 18.51% | 20.55% |
Worst Year | -11.27% | -37.26% |
Avg. Drawdown | -6.0% | -3.8% |
Avg. Drawdown Days | 48 | 34 |
Recovery Factor | 0.31 | -0.22 |
Ulcer Index | 0.17 | 0.31 |
Serenity Index | -2.57 | -0.95 |
Avg. Up Month | 6.3% | 4.56% |
Avg. Down Month | -11.33% | -7.83% |
Win Days | 53.36% | 54.23% |
Win Month | 68.0% | 64.0% |
Win Quarter | 80.0% | 60.0% |
Win Year | 66.67% | 66.67% |
Beta | 0.27 | - |
Alpha | 0.11 | - |
Correlation | 31.38% | - |
Treynor Ratio | -2535.64% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 16.74 | 18.51 | 1.11 | + |
2022 | -37.26 | -11.27 | 0.30 | + |
2023 | 20.55 | 8.03 | 0.39 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-06-02 | 2023-05-02 | -43.69 | 334 |
2022-01-14 | 2022-02-25 | -10.70 | 42 |
2021-05-11 | 2021-11-16 | -7.15 | 189 |
2021-11-23 | 2021-12-16 | -5.27 | 23 |
2021-04-13 | 2021-05-10 | -3.43 | 27 |
2022-01-10 | 2022-01-13 | -2.70 | 3 |
2021-02-15 | 2021-03-09 | -2.41 | 22 |
2021-12-17 | 2021-12-27 | -1.92 | 10 |
2021-11-17 | 2021-11-22 | -1.59 | 5 |
2021-03-15 | 2021-03-18 | -1.38 | 3 |