Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -12.06% | -32.34% |
CAGR﹪ | -19.44% | -48.16% |
Sharpe | -8.12 | -4.42 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.87 | -3.74 |
Sortino | -7.96 | -4.76 |
Smart Sortino | -6.74 | -4.03 |
Sortino/√2 | -5.63 | -3.37 |
Smart Sortino/√2 | -4.76 | -2.85 |
Omega | 0.25 | 0.25 |
Max Drawdown | -21.07% | -51.26% |
Longest DD Days | 100 | 127 |
Volatility (ann.) | 27.88% | 57.59% |
R^2 | 0.1 | 0.1 |
Information Ratio | 0.03 | 0.03 |
Calmar | -0.92 | -0.94 |
Skew | -0.31 | -4.14 |
Kurtosis | 3.72 | 51.96 |
Expected Daily | -0.08% | -0.26% |
Expected Monthly | -1.59% | -4.77% |
Expected Yearly | -6.22% | -17.74% |
Kelly Criterion | 2.35% | -8.82% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.96% | -6.15% |
Expected Shortfall (cVaR) | -2.96% | -6.15% |
Max Consecutive Wins | 4 | 6 |
Max Consecutive Losses | 7 | 4 |
Gain/Pain Ratio | -0.11 | -0.21 |
Gain/Pain (1M) | -0.41 | -0.71 |
Payoff Ratio | 1.25 | 0.78 |
Profit Factor | 0.89 | 0.79 |
Common Sense Ratio | 0.8 | 0.54 |
CPC Index | 0.51 | 0.32 |
Tail Ratio | 0.9 | 0.68 |
Outlier Win Ratio | 2.93 | 2.9 |
Outlier Loss Ratio | 5.17 | 3.47 |
MTD | -9.19% | -30.02% |
3M | -19.44% | -36.5% |
6M | -11.74% | -35.02% |
YTD | -13.39% | -34.42% |
1Y | -12.06% | -32.34% |
3Y (ann.) | -19.44% | -48.16% |
5Y (ann.) | -19.44% | -48.16% |
10Y (ann.) | -19.44% | -48.16% |
All-time (ann.) | -19.44% | -48.16% |
Best Day | 6.74% | 20.04% |
Worst Day | -8.23% | -33.28% |
Best Month | 10.09% | 5.02% |
Worst Month | -9.19% | -30.02% |
Best Year | 1.54% | 3.18% |
Worst Year | -13.39% | -34.42% |
Avg. Drawdown | -6.76% | -5.23% |
Avg. Drawdown Days | 34 | 15 |
Recovery Factor | -0.57 | -0.63 |
Ulcer Index | 0.09 | 0.11 |
Serenity Index | -9.47 | -11.25 |
Avg. Up Month | 2.54% | 2.74% |
Avg. Down Month | -6.03% | -12.66% |
Win Days | 45.7% | 52.32% |
Win Month | 37.5% | 50.0% |
Win Quarter | 33.33% | 33.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.15 | - |
Alpha | -0.11 | - |
Correlation | 30.9% | - |
Treynor Ratio | -4761.75% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.18 | 1.54 | 0.48 | - |
2022 | -34.42 | -13.39 | 0.39 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-17 | 2022-02-25 | -21.07 | 100 |
2021-09-07 | 2021-11-09 | -12.84 | 63 |
2021-07-26 | 2021-09-01 | -5.32 | 37 |
2021-11-15 | 2021-11-16 | -0.86 | 1 |
2021-11-10 | 2021-11-11 | -0.23 | 1 |
2021-09-02 | 2021-09-03 | -0.22 | 1 |