Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 54.0% | 99.0% |
Cumulative Return | 24.67% | 65.93% |
CAGR﹪ | 4.65% | 11.01% |
Sharpe | -0.1 | -13.4 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -0.09 | -12.14 |
Sortino | -0.88 | -10.75 |
Smart Sortino | -0.79 | -9.74 |
Sortino/√2 | -0.62 | -7.6 |
Smart Sortino/√2 | -0.56 | -6.89 |
Omega | 0.83 | 0.83 |
Max Drawdown | -91.38% | -21.5% |
Longest DD Days | 1319 | 1211 |
Volatility (ann.) | 408.58% | 14.73% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.05 | 0.51 |
Skew | 34.65 | 0.2 |
Kurtosis | 1216.43 | 4.6 |
Expected Daily | 0.02% | 0.04% |
Expected Monthly | 0.37% | 0.86% |
Expected Yearly | 3.74% | 8.81% |
Kelly Criterion | 47.39% | 7.8% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -41.66% | -1.48% |
Expected Shortfall (cVaR) | -41.66% | -1.48% |
Max Consecutive Wins | 9 | 10 |
Max Consecutive Losses | 6 | 10 |
Gain/Pain Ratio | 2.57 | 0.14 |
Gain/Pain (1M) | 20.49 | 0.77 |
Payoff Ratio | 5.17 | 1.11 |
Profit Factor | 3.57 | 1.14 |
Common Sense Ratio | 3.69 | 1.19 |
CPC Index | 10.31 | 0.66 |
Tail Ratio | 1.03 | 1.04 |
Outlier Win Ratio | 1.93 | 3.47 |
Outlier Loss Ratio | 2.12 | 3.62 |
MTD | 0.0% | 6.03% |
3M | 0.0% | 5.46% |
6M | 0.0% | 12.33% |
YTD | 0.0% | 4.5% |
1Y | 0.0% | 11.62% |
3Y (ann.) | -2.13% | 7.06% |
5Y (ann.) | 4.65% | 11.01% |
10Y (ann.) | 4.65% | 11.01% |
All-time (ann.) | 4.65% | 11.01% |
Best Day | 902.48% | 7.03% |
Worst Day | -89.96% | -5.26% |
Best Month | 10.56% | 11.52% |
Worst Month | -7.23% | -7.12% |
Best Year | 22.82% | 24.17% |
Worst Year | -7.7% | -3.75% |
Avg. Drawdown | -5.91% | -3.03% |
Avg. Drawdown Days | 70 | 60 |
Recovery Factor | 0.27 | 3.07 |
Ulcer Index | 0.15 | 0.09 |
Serenity Index | -45.49 | -3.79 |
Avg. Up Month | 4.45% | 4.75% |
Avg. Down Month | -3.4% | -3.42% |
Win Days | 55.92% | 51.43% |
Win Month | 55.88% | 50.85% |
Win Quarter | 66.67% | 70.0% |
Win Year | 50.0% | 66.67% |
Beta | 0.69 | - |
Alpha | 1.62 | - |
Correlation | 2.51% | - |
Treynor Ratio | -971.99% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 17.25 | 15.38 | 0.89 | - |
2020 | 24.17 | 22.82 | 0.94 | - |
2021 | -3.75 | -4.68 | 1.25 | - |
2022 | -0.43 | -7.70 | 18.08 | - |
2023 | 13.80 | 0.00 | 0.00 | - |
2024 | 4.50 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-08-07 | 2024-03-18 | -91.38 | 1319 |
2020-03-06 | 2020-04-09 | -10.98 | 34 |
2019-09-05 | 2020-01-06 | -6.63 | 123 |
2020-02-26 | 2020-03-05 | -4.31 | 8 |
2020-05-21 | 2020-06-22 | -4.16 | 32 |
2020-04-15 | 2020-05-15 | -3.43 | 30 |
2019-06-26 | 2019-07-19 | -2.73 | 23 |
2020-01-09 | 2020-01-27 | -2.12 | 18 |
2020-02-03 | 2020-02-18 | -2.11 | 15 |
2019-05-16 | 2019-05-31 | -1.99 | 15 |