Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -34.22% | 17.58% |
CAGR﹪ | -13.82% | 5.92% |
Sharpe | -0.08 | 19.0 |
Prob. Sharpe Ratio | 44.59% | 100.0% |
Smart Sharpe | -0.08 | 18.84 |
Sortino | -0.09 | 63.5 |
Smart Sortino | -0.09 | 62.99 |
Sortino/√2 | -0.07 | 44.9 |
Smart Sortino/√2 | -0.06 | 44.54 |
Omega | 0.97 | 0.97 |
Max Drawdown | -64.89% | -1.25% |
Longest DD Days | 813 | 205 |
Volatility (ann.) | 42.52% | 0.35% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.21 | 4.72 |
Skew | -15.39 | -0.58 |
Kurtosis | 346.14 | -0.07 |
Expected Daily | -0.07% | 0.03% |
Expected Monthly | -1.34% | 0.52% |
Expected Yearly | -9.94% | 4.13% |
Kelly Criterion | -164.08% | 83.73% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.42% | -0.01% |
Expected Shortfall (cVaR) | -4.42% | -0.01% |
Max Consecutive Wins | 10 | 377 |
Max Consecutive Losses | 10 | 60 |
Gain/Pain Ratio | -0.03 | 12.83 |
Gain/Pain (1M) | -0.09 | 12.83 |
Payoff Ratio | 0.23 | 1.5 |
Profit Factor | 0.97 | 13.83 |
Common Sense Ratio | 1.03 | 37.03 |
CPC Index | 0.11 | 18.78 |
Tail Ratio | 1.07 | 2.68 |
Outlier Win Ratio | 2.19 | 58.12 |
Outlier Loss Ratio | 2.3 | 93.79 |
MTD | 2.4% | 0.64% |
3M | -0.33% | 2.32% |
6M | 0.75% | 5.09% |
YTD | 2.92% | 2.2% |
1Y | 18.84% | 8.06% |
3Y (ann.) | -13.82% | 5.92% |
5Y (ann.) | -13.82% | 5.92% |
10Y (ann.) | -13.82% | 5.92% |
All-time (ann.) | -13.82% | 5.92% |
Best Day | 19.12% | 0.07% |
Worst Day | -57.32% | -0.02% |
Best Month | 22.4% | 1.17% |
Worst Month | -63.25% | -0.52% |
Best Year | 26.79% | 7.42% |
Worst Year | -53.63% | 2.2% |
Avg. Drawdown | -4.59% | -1.25% |
Avg. Drawdown Days | 61 | 205 |
Recovery Factor | -0.53 | 14.01 |
Ulcer Index | 0.42 | 0.0 |
Serenity Index | -0.03 | 1.2 |
Avg. Up Month | 3.78% | 0.56% |
Avg. Down Month | -35.28% | -0.44% |
Win Days | 49.84% | 90.23% |
Win Month | 61.29% | 90.32% |
Win Quarter | 75.0% | 83.33% |
Win Year | 75.0% | 100.0% |
Beta | 9.45 | - |
Alpha | -0.66 | - |
Correlation | 7.77% | - |
Treynor Ratio | -3.62% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.71 | 8.69 | 1.84 | + |
2022 | 2.29 | -53.63 | -23.44 | - |
2023 | 7.42 | 26.79 | 3.61 | + |
2024 | 2.20 | 2.92 | 1.33 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-04 | 2024-03-27 | -64.89 | 813 |
2021-11-19 | 2021-12-30 | -1.70 | 41 |
2021-10-28 | 2021-11-08 | -1.32 | 11 |
2021-09-13 | 2021-10-14 | -1.26 | 31 |
2021-06-16 | 2021-06-28 | -0.98 | 12 |
2021-08-03 | 2021-08-27 | -0.84 | 24 |
2021-10-15 | 2021-10-22 | -0.63 | 7 |
2021-08-31 | 2021-09-09 | -0.42 | 9 |
2021-11-15 | 2021-11-18 | -0.25 | 3 |
2021-11-10 | 2021-11-12 | -0.23 | 2 |