Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -49.17% | -10.23% |
CAGR﹪ | -67.79% | -16.53% |
Sharpe | -1.96 | -0.94 |
Prob. Sharpe Ratio | 0.08% | 8.89% |
Smart Sharpe | -1.32 | -0.64 |
Sortino | -2.09 | -1.3 |
Smart Sortino | -1.41 | -0.88 |
Sortino/√2 | -1.48 | -0.92 |
Smart Sortino/√2 | -1.0 | -0.62 |
Omega | 0.6 | 0.6 |
Max Drawdown | -54.12% | -21.17% |
Longest DD Days | 100 | 100 |
Volatility (ann.) | 53.7% | 23.67% |
R^2 | 0.12 | 0.12 |
Information Ratio | -0.1 | -0.1 |
Calmar | -1.25 | -0.78 |
Skew | -5.57 | 0.16 |
Kurtosis | 45.62 | -0.15 |
Expected Daily | -0.46% | -0.07% |
Expected Monthly | -8.11% | -1.34% |
Expected Yearly | -28.7% | -5.25% |
Kelly Criterion | -5.43% | -2.64% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.95% | -2.51% |
Expected Shortfall (cVaR) | -5.95% | -2.51% |
Max Consecutive Wins | 6 | 6 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.38 | -0.1 |
Gain/Pain (1M) | -0.81 | -0.41 |
Payoff Ratio | 0.93 | 0.96 |
Profit Factor | 0.62 | 0.9 |
Common Sense Ratio | 0.51 | 0.9 |
CPC Index | 0.28 | 0.43 |
Tail Ratio | 0.81 | 1.0 |
Outlier Win Ratio | 3.19 | 3.67 |
Outlier Loss Ratio | 3.51 | 5.83 |
MTD | -44.38% | -2.11% |
3M | -52.43% | -15.72% |
6M | -48.51% | -9.16% |
YTD | -49.19% | -9.17% |
1Y | -49.17% | -10.23% |
3Y (ann.) | -67.79% | -16.53% |
5Y (ann.) | -67.79% | -16.53% |
10Y (ann.) | -67.79% | -16.53% |
All-time (ann.) | -67.79% | -16.53% |
Best Day | 6.87% | 4.28% |
Worst Day | -30.35% | -3.45% |
Best Month | 6.06% | 6.1% |
Worst Month | -44.38% | -7.21% |
Best Year | 0.03% | -1.17% |
Worst Year | -49.19% | -9.17% |
Avg. Drawdown | -12.43% | -7.88% |
Avg. Drawdown Days | 34 | 40 |
Recovery Factor | -0.91 | -0.48 |
Ulcer Index | 0.11 | 0.1 |
Serenity Index | -0.82 | -0.15 |
Avg. Up Month | 4.34% | 4.4% |
Avg. Down Month | -13.08% | -4.6% |
Win Days | 49.32% | 49.66% |
Win Month | 37.5% | 37.5% |
Win Quarter | 33.33% | 33.33% |
Win Year | 50.0% | 0.0% |
Beta | 0.77 | - |
Alpha | -0.86 | - |
Correlation | 34.09% | - |
Treynor Ratio | -72.64% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -1.17 | 0.03 | -0.03 | + |
2022 | -9.17 | -49.19 | 5.37 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-17 | 2022-02-25 | -54.12 | 100 |
2021-09-07 | 2021-11-08 | -12.21 | 62 |
2021-07-23 | 2021-09-01 | -6.68 | 40 |
2021-11-10 | 2021-11-11 | -0.77 | 1 |
2021-11-15 | 2021-11-16 | -0.69 | 1 |
2021-09-02 | 2021-09-03 | -0.11 | 1 |