Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -2.3% | 5.19% |
CAGR﹪ | -3.21% | 7.33% |
Sharpe | -0.3 | 79.62 |
Prob. Sharpe Ratio | 39.66% | 100.0% |
Smart Sharpe | -0.27 | 71.7 |
Sortino | -0.35 | - |
Smart Sortino | -0.32 | - |
Sortino/√2 | -0.25 | - |
Smart Sortino/√2 | -0.23 | - |
Omega | 0.94 | 0.94 |
Max Drawdown | -9.61% | - |
Longest DD Days | - | - |
Volatility (ann.) | 9.26% | 0.09% |
R^2 | 0.05 | 0.05 |
Information Ratio | -0.07 | -0.07 |
Calmar | -0.33 | - |
Skew | -3.52 | 0.1 |
Kurtosis | 26.55 | 3.19 |
Expected Daily | -0.01% | 0.03% |
Expected Monthly | -0.26% | 0.56% |
Expected Yearly | -1.16% | 2.56% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.97% | -0.02% |
Expected Shortfall (cVaR) | -0.97% | -0.02% |
Max Consecutive Wins | 7 | 183 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | -0.06 | - |
Gain/Pain (1M) | -0.19 | - |
Payoff Ratio | - | - |
Profit Factor | 0.94 | - |
Common Sense Ratio | 1.1 | - |
CPC Index | - | - |
Tail Ratio | 1.17 | 1.89 |
Outlier Win Ratio | 1.88 | 22.16 |
Outlier Loss Ratio | 2.26 | - |
MTD | -8.05% | 0.71% |
3M | -8.34% | 2.13% |
6M | -6.26% | 3.86% |
YTD | -9.61% | 1.36% |
1Y | -2.3% | 5.19% |
3Y (ann.) | -3.21% | 7.33% |
5Y (ann.) | -3.21% | 7.33% |
10Y (ann.) | -3.21% | 7.33% |
All-time (ann.) | -3.21% | 7.33% |
Best Day | 1.27% | 0.04% |
Worst Day | -4.78% | 0.0% |
Best Month | 3.78% | 0.71% |
Worst Month | -8.05% | 0.41% |
Best Year | 8.08% | 3.77% |
Worst Year | -9.61% | 1.36% |
Avg. Drawdown | -1.73% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.24 | - |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | -0.28 | - |
Avg. Up Month | 1.41% | 0.53% |
Avg. Down Month | - | - |
Win Days | 51.38% | 100.0% |
Win Month | 66.67% | 100.0% |
Win Quarter | 75.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | -23.68 | - |
Alpha | 1.61 | - |
Correlation | -22.24% | - |
Treynor Ratio | 0.1% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.77 | 8.08 | 2.14 | + |
2022 | 1.36 | -9.61 | -7.04 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-03 | 2022-02-25 | -9.61 | 53 |
2021-08-04 | 2021-10-26 | -2.13 | 83 |
2021-11-16 | 2021-12-30 | -1.57 | 44 |
2021-10-28 | 2021-11-08 | -1.39 | 11 |
2021-06-11 | 2021-07-01 | -1.22 | 20 |
2021-07-20 | 2021-07-23 | -0.93 | 3 |
2021-07-29 | 2021-07-30 | -0.73 | 1 |
2021-07-05 | 2021-07-07 | -0.64 | 2 |
2021-07-08 | 2021-07-14 | -0.46 | 6 |
2021-11-10 | 2021-11-15 | -0.21 | 5 |