Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -2.44% | 6.53% |
CAGR% | -3.59% | 9.85% |
Sharpe | -0.36 | 1.77 |
Sortino | -0.42 | 2.77 |
Max Drawdown | -9.57% | -3.22% |
Longest DD Days | 83 | 52 |
Volatility (ann.) | 9.73% | 5.81% |
R^2 | 0.09 | 0.09 |
Calmar | -0.38 | 3.07 |
Skew | -3.51 | 0.16 |
Kurtosis | 24.88 | 1.15 |
Expected Daily % | -0.02% | 0.04% |
Expected Monthly % | -0.27% | 0.71% |
Expected Yearly % | -1.23% | 3.21% |
Kelly Criterion | 1.89% | 13.31% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.02% | -0.56% |
Expected Shortfall (cVaR) | -2.53% | -2.53% |
Payoff Ratio | 0.99 | 1.06 |
Profit Factor | 0.07 | 0.35 |
Common Sense Ratio | 0.08 | 0.38 |
CPC Index | 0.04 | 0.21 |
Tail Ratio | 1.13 | 1.08 |
Outlier Win Ratio | 3.5 | 4.16 |
Outlier Loss Ratio | 3.65 | 5.42 |
MTD | -8.02% | -0.08% |
3M | -8.31% | -0.02% |
6M | -6.26% | 2.23% |
YTD | -9.57% | -1.55% |
1Y | -2.44% | 6.53% |
3Y (ann.) | -3.61% | 9.89% |
5Y (ann.) | -3.61% | 9.89% |
10Y (ann.) | -3.61% | 9.89% |
All-time (ann.) | -3.61% | 9.89% |
Best Day | 1.26% | 1.21% |
Worst Day | -4.77% | -1.02% |
Best Month | 3.76% | 3.78% |
Worst Month | -8.02% | -1.48% |
Best Year | 7.89% | 8.21% |
Worst Year | -9.57% | -1.55% |
Avg. Drawdown | -1.72% | -0.86% |
Avg. Drawdown Days | 21 | 15 |
Recovery Factor | -0.25 | 2.03 |
Ulcer Index | inf | inf |
Avg. Up Month | 1.38% | 1.42% |
Avg. Down Month | -3.44% | -0.7% |
Win Days % | 51.28% | 55.41% |
Win Month % | 66.67% | 66.67% |
Win Quarter % | 75.0% | 75.0% |
Win Year % | 50.0% | 50.0% |
Beta | 0.51 | - |
Alpha | -0.09 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 8.24 | 7.92 | 0.96 | - |
2022 | -1.56 | -9.61 | 6.16 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-04 | 2022-02-25 | -9.61 | 52 |
2021-08-04 | 2021-10-26 | -2.13 | 83 |
2021-11-16 | 2021-12-30 | -1.44 | 44 |
2021-10-28 | 2021-11-08 | -1.39 | 11 |
2021-07-20 | 2021-07-23 | -0.93 | 3 |
2021-07-29 | 2021-07-30 | -0.73 | 1 |
2021-07-05 | 2021-07-12 | -0.64 | 7 |
2021-11-10 | 2021-11-15 | -0.21 | 5 |
2021-07-16 | 2021-07-19 | -0.14 | 3 |
2021-06-28 | 2021-06-29 | -0.10 | 1 |