Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -3.86% | 6.1% |
CAGR﹪ | -4.66% | 7.45% |
Sharpe | -11.81 | -4.32 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -11.51 | -4.21 |
Sortino | -9.83 | -4.9 |
Smart Sortino | -9.57 | -4.77 |
Sortino/√2 | -6.95 | -3.46 |
Smart Sortino/√2 | -6.77 | -3.37 |
Omega | 0.13 | 0.13 |
Max Drawdown | -9.29% | -10.4% |
Longest DD Days | 162 | 52 |
Volatility (ann.) | 6.27% | 14.13% |
R^2 | 0.18 | 0.18 |
Information Ratio | -0.06 | -0.06 |
Calmar | -0.5 | 0.72 |
Skew | -0.45 | -0.26 |
Kurtosis | 1.05 | 0.4 |
Expected Daily | -0.02% | 0.03% |
Expected Monthly | -0.36% | 0.54% |
Expected Yearly | -1.95% | 3.01% |
Kelly Criterion | -10.35% | 2.87% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.67% | -1.43% |
Expected Shortfall (cVaR) | -0.67% | -1.43% |
Max Consecutive Wins | 7 | 7 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | -0.11 | 0.1 |
Gain/Pain (1M) | -0.35 | 0.5 |
Payoff Ratio | 0.74 | 0.86 |
Profit Factor | 0.89 | 1.1 |
Common Sense Ratio | 0.73 | 0.9 |
CPC Index | 0.35 | 0.52 |
Tail Ratio | 0.83 | 0.82 |
Outlier Win Ratio | 5.5 | 2.29 |
Outlier Loss Ratio | 4.61 | 2.25 |
MTD | -3.15% | -2.77% |
3M | -6.93% | -6.4% |
6M | -8.1% | -1.57% |
YTD | -7.86% | -8.04% |
1Y | -3.86% | 6.1% |
3Y (ann.) | -4.66% | 7.45% |
5Y (ann.) | -4.66% | 7.45% |
10Y (ann.) | -4.66% | 7.45% |
All-time (ann.) | -4.66% | 7.45% |
Best Day | 1.11% | 2.45% |
Worst Day | -1.47% | -2.43% |
Best Month | 2.61% | 7.01% |
Worst Month | -4.87% | -5.42% |
Best Year | 4.35% | 15.38% |
Worst Year | -7.86% | -8.04% |
Avg. Drawdown | -1.08% | -1.67% |
Avg. Drawdown Days | 19 | 9 |
Recovery Factor | -0.41 | 0.59 |
Ulcer Index | 0.03 | 0.03 |
Serenity Index | -2.63 | -4.57 |
Avg. Up Month | 1.43% | 2.64% |
Avg. Down Month | -2.66% | -3.38% |
Win Days | 53.23% | 55.17% |
Win Month | 50.0% | 60.0% |
Win Quarter | 50.0% | 75.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.19 | - |
Alpha | -0.06 | - |
Correlation | 42.0% | - |
Treynor Ratio | -557.24% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 15.38 | 4.35 | 0.28 | - |
2022 | -8.04 | -7.86 | 0.98 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-16 | 2022-02-25 | -9.29 | 162 |
2021-05-10 | 2021-05-25 | -1.13 | 15 |
2021-07-12 | 2021-08-23 | -1.07 | 42 |
2021-07-07 | 2021-07-08 | -0.52 | 1 |
2021-06-14 | 2021-06-21 | -0.43 | 7 |
2021-09-13 | 2021-09-15 | -0.34 | 2 |
2021-09-03 | 2021-09-10 | -0.26 | 7 |
2021-06-24 | 2021-06-25 | -0.21 | 1 |
2021-05-27 | 2021-06-02 | -0.18 | 6 |
2021-06-03 | 2021-06-07 | -0.18 | 4 |