Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 99.0% |
Cumulative Return | 24.67% | 40.4% |
CAGR﹪ | 8.23% | 12.95% |
Sharpe | 0.18 | -11.99 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | 0.17 | -10.85 |
Sortino | 1.73 | -10.1 |
Smart Sortino | 1.56 | -9.15 |
Sortino/√2 | 1.22 | -7.14 |
Smart Sortino/√2 | 1.11 | -6.47 |
Omega | 1.39 | 1.39 |
Max Drawdown | -91.38% | -19.19% |
Longest DD Days | 567 | 564 |
Volatility (ann.) | 552.43% | 16.26% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.03 | 0.03 |
Calmar | 0.09 | 0.67 |
Skew | 25.63 | -0.06 |
Kurtosis | 665.45 | 5.23 |
Expected Daily | 0.03% | 0.05% |
Expected Monthly | 0.65% | 1.0% |
Expected Yearly | 5.67% | 8.85% |
Kelly Criterion | 41.3% | 7.25% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -56.01% | -1.63% |
Expected Shortfall (cVaR) | -56.01% | -1.63% |
Max Consecutive Wins | 10 | 8 |
Max Consecutive Losses | 6 | 7 |
Gain/Pain Ratio | 2.6 | 0.17 |
Gain/Pain (1M) | 20.55 | 0.92 |
Payoff Ratio | 3.13 | 0.95 |
Profit Factor | 3.6 | 1.17 |
Common Sense Ratio | 3.13 | 1.22 |
CPC Index | 6.26 | 0.61 |
Tail Ratio | 0.87 | 1.04 |
Outlier Win Ratio | 0.87 | 3.67 |
Outlier Loss Ratio | 2.77 | 4.18 |
MTD | -6.55% | 4.95% |
3M | -6.24% | 5.64% |
6M | -7.32% | 3.98% |
YTD | -7.7% | 4.3% |
1Y | -7.4% | 4.94% |
3Y (ann.) | 8.23% | 12.95% |
5Y (ann.) | 8.23% | 12.95% |
10Y (ann.) | 8.23% | 12.95% |
All-time (ann.) | 8.23% | 12.95% |
Best Day | 902.48% | 7.02% |
Worst Day | -89.96% | -5.27% |
Best Month | 10.56% | 11.33% |
Worst Month | -7.09% | -7.24% |
Best Year | 22.82% | 21.93% |
Worst Year | -7.7% | -4.39% |
Avg. Drawdown | -5.91% | -3.03% |
Avg. Drawdown Days | 39 | 43 |
Recovery Factor | 0.27 | 2.1 |
Ulcer Index | 0.1 | 0.1 |
Serenity Index | -124.63 | -4.1 |
Avg. Up Month | 4.44% | 4.35% |
Avg. Down Month | -3.39% | -3.3% |
Win Days | 55.52% | 54.79% |
Win Month | 55.88% | 55.88% |
Win Quarter | 66.67% | 75.0% |
Win Year | 50.0% | 75.0% |
Beta | 1.32 | - |
Alpha | 2.92 | - |
Correlation | 3.89% | - |
Treynor Ratio | -511.45% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 15.47 | 15.38 | 0.99 | - |
2020 | 21.93 | 22.82 | 1.04 | + |
2021 | -4.39 | -4.68 | 1.07 | - |
2022 | 4.30 | -7.70 | -1.79 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-08-07 | 2022-02-25 | -91.38 | 567 |
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 |