Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 3.04% | 8.4% |
CAGR﹪ | 3.5% | 9.7% |
Sharpe | 0.31 | 35.43 |
Prob. Sharpe Ratio | 61.48% | - |
Smart Sharpe | 0.26 | 30.17 |
Sortino | 0.44 | - |
Smart Sortino | 0.37 | - |
Sortino/√2 | 0.31 | - |
Smart Sortino/√2 | 0.26 | - |
Omega | 1.05 | 1.05 |
Max Drawdown | -7.64% | - |
Longest DD Days | - | - |
Volatility (ann.) | 13.97% | 0.26% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.46 | - |
Skew | -0.27 | -0.23 |
Kurtosis | 1.54 | -0.63 |
Expected Daily | 0.01% | 0.04% |
Expected Monthly | 0.27% | 0.74% |
Expected Yearly | 1.51% | 4.11% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.43% | -0.01% |
Expected Shortfall (cVaR) | -1.43% | -0.01% |
Max Consecutive Wins | 10 | 223 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | 0.05 | - |
Gain/Pain (1M) | 0.47 | - |
Payoff Ratio | - | - |
Profit Factor | 1.05 | - |
Common Sense Ratio | 1.07 | - |
CPC Index | - | - |
Tail Ratio | 1.01 | 8.37 |
Outlier Win Ratio | 1.75 | 31.14 |
Outlier Loss Ratio | 1.64 | - |
MTD | -1.91% | 1.17% |
3M | -0.13% | 3.2% |
6M | 1.26% | 5.82% |
YTD | -1.28% | 2.17% |
1Y | 3.04% | 8.4% |
3Y (ann.) | 3.5% | 9.7% |
5Y (ann.) | 3.5% | 9.7% |
10Y (ann.) | 3.5% | 9.7% |
All-time (ann.) | 3.5% | 9.7% |
Best Day | 2.8% | 0.06% |
Worst Day | -3.35% | 0.0% |
Best Month | 5.38% | 1.17% |
Worst Month | -4.54% | 0.17% |
Best Year | 4.38% | 6.09% |
Worst Year | -1.28% | 2.17% |
Avg. Drawdown | -3.47% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | 0.4 | - |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | 0.17 | - |
Avg. Up Month | 1.66% | 0.73% |
Avg. Down Month | - | - |
Win Days | 52.04% | 100.0% |
Win Month | 63.64% | 100.0% |
Win Quarter | 25.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | -0.68 | - |
Alpha | 0.11 | - |
Correlation | -1.25% | - |
Treynor Ratio | -4.47% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 6.09 | 4.38 | 0.72 | - |
2022 | 2.17 | -1.28 | -0.59 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-07 | 2021-11-22 | -7.64 | 76 |
2022-01-17 | 2022-02-25 | -6.31 | 39 |
2021-11-23 | 2022-01-03 | -5.75 | 41 |
2022-01-06 | 2022-01-14 | -3.72 | 8 |
2021-04-20 | 2021-07-07 | -3.46 | 78 |
2021-07-08 | 2021-08-10 | -2.83 | 33 |
2021-08-16 | 2021-09-06 | -1.16 | 21 |
2021-08-11 | 2021-08-12 | -0.19 | 1 |
2021-04-14 | 2021-04-15 | -0.17 | 1 |