Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 28.0% | 99.0% |
Cumulative Return | -4.19% | 0.75% |
CAGR﹪ | -1.44% | 0.25% |
Sharpe | -62.49 | -37.37 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -57.52 | -34.4 |
Sortino | -15.39 | -14.63 |
Smart Sortino | -14.16 | -13.46 |
Sortino/√2 | -10.88 | -10.34 |
Smart Sortino/√2 | -10.02 | -9.52 |
Omega | 0.0 | 0.0 |
Max Drawdown | -9.29% | -17.86% |
Longest DD Days | 943 | 888 |
Volatility (ann.) | 3.36% | 5.58% |
R^2 | 0.03 | 0.03 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.15 | 0.01 |
Skew | -1.09 | -0.24 |
Kurtosis | 11.52 | 3.99 |
Expected Daily | -0.01% | 0.0% |
Expected Monthly | -0.12% | 0.02% |
Expected Yearly | -1.06% | 0.19% |
Kelly Criterion | -13.85% | -21.37% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.35% | -0.58% |
Expected Shortfall (cVaR) | -0.35% | -0.58% |
Max Consecutive Wins | 8 | 12 |
Max Consecutive Losses | 5 | 10 |
Gain/Pain Ratio | -0.12 | 0.01 |
Gain/Pain (1M) | -0.38 | 0.03 |
Payoff Ratio | 0.68 | 0.66 |
Profit Factor | 0.88 | 1.01 |
Common Sense Ratio | 0.73 | 0.95 |
CPC Index | 0.32 | 0.34 |
Tail Ratio | 0.83 | 0.94 |
Outlier Win Ratio | 17.62 | 3.3 |
Outlier Loss Ratio | 2.18 | 2.89 |
MTD | 0.0% | -2.36% |
3M | 0.0% | -0.35% |
6M | 0.0% | 8.88% |
YTD | 0.0% | 0.16% |
1Y | 0.0% | 6.96% |
3Y (ann.) | -1.37% | 0.35% |
5Y (ann.) | -1.44% | 0.25% |
10Y (ann.) | -1.44% | 0.25% |
All-time (ann.) | -1.44% | 0.25% |
Best Day | 1.11% | 1.4% |
Worst Day | -1.47% | -2.42% |
Best Month | 2.69% | 4.79% |
Worst Month | -4.87% | -5.2% |
Best Year | 3.99% | 10.87% |
Worst Year | -7.86% | -13.29% |
Avg. Drawdown | -1.08% | -2.25% |
Avg. Drawdown Days | 79 | 102 |
Recovery Factor | -0.45 | 0.04 |
Ulcer Index | 0.08 | 0.1 |
Serenity Index | -1.42 | -1.45 |
Avg. Up Month | 1.64% | 1.54% |
Avg. Down Month | -2.66% | -1.88% |
Win Days | 53.88% | 51.91% |
Win Month | 50.0% | 52.78% |
Win Quarter | 50.0% | 61.54% |
Win Year | 50.0% | 75.0% |
Beta | 0.11 | - |
Alpha | -0.01 | - |
Correlation | 18.57% | - |
Treynor Ratio | -6285.49% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.64 | 3.99 | 0.86 | - |
2022 | -13.29 | -7.86 | 0.59 | + |
2023 | 10.87 | 0.00 | 0.00 | - |
2024 | 0.16 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-16 | 2024-04-16 | -9.29 | 943 |
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 |
2021-09-03 | 2021-09-10 | -0.34 | 7 |
2021-09-13 | 2021-09-15 | -0.34 | 2 |
2021-06-24 | 2021-06-25 | -0.21 | 1 |
2021-05-27 | 2021-06-02 | -0.19 | 6 |
2021-06-03 | 2021-06-04 | -0.18 | 1 |