Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 71.57% | 98.55% |
CAGR﹪ | 21.54% | 28.13% |
Sharpe | -6.59 | -6.26 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.89 | -5.59 |
Sortino | -6.75 | -6.71 |
Smart Sortino | -6.02 | -5.99 |
Sortino/√2 | -4.77 | -4.74 |
Smart Sortino/√2 | -4.26 | -4.23 |
Omega | 0.28 | 0.28 |
Max Drawdown | -31.71% | -30.35% |
Longest DD Days | 110 | 109 |
Volatility (ann.) | 27.99% | 28.56% |
R^2 | 0.37 | 0.37 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.68 | 0.93 |
Skew | -1.48 | -0.27 |
Kurtosis | 16.62 | 10.88 |
Expected Daily | 0.08% | 0.1% |
Expected Monthly | 1.6% | 2.04% |
Expected Yearly | 14.45% | 18.7% |
Kelly Criterion | 7.89% | 6.88% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.8% | -2.84% |
Expected Shortfall (cVaR) | -2.8% | -2.84% |
Max Consecutive Wins | 8 | 7 |
Max Consecutive Losses | 10 | 6 |
Gain/Pain Ratio | 0.18 | 0.22 |
Gain/Pain (1M) | 1.03 | 1.68 |
Payoff Ratio | 0.94 | 0.9 |
Profit Factor | 1.18 | 1.22 |
Common Sense Ratio | 1.15 | 1.12 |
CPC Index | 0.61 | 0.62 |
Tail Ratio | 0.97 | 0.92 |
Outlier Win Ratio | 3.93 | 3.84 |
Outlier Loss Ratio | 4.05 | 4.03 |
MTD | -17.27% | -5.64% |
3M | -24.23% | -12.32% |
6M | -20.4% | -8.03% |
YTD | -25.09% | -13.49% |
1Y | -6.6% | 8.28% |
3Y (ann.) | 21.54% | 28.13% |
5Y (ann.) | 21.54% | 28.13% |
10Y (ann.) | 21.54% | 28.13% |
All-time (ann.) | 21.54% | 28.13% |
Best Day | 9.45% | 11.19% |
Worst Day | -16.87% | -13.46% |
Best Month | 12.58% | 14.56% |
Worst Month | -17.27% | -9.1% |
Best Year | 46.42% | 45.52% |
Worst Year | -25.09% | -13.49% |
Avg. Drawdown | -2.78% | -2.67% |
Avg. Drawdown Days | 12 | 13 |
Recovery Factor | 2.26 | 3.25 |
Ulcer Index | 0.07 | 0.07 |
Serenity Index | -13.08 | -13.08 |
Avg. Up Month | 5.52% | 5.53% |
Avg. Down Month | -6.52% | -5.19% |
Win Days | 55.47% | 55.79% |
Win Month | 70.59% | 67.65% |
Win Quarter | 83.33% | 83.33% |
Win Year | 75.0% | 75.0% |
Beta | 0.6 | - |
Alpha | 0.06 | - |
Correlation | 60.96% | - |
Treynor Ratio | -1051.86% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 20.67 | 19.83 | 0.96 | - |
2020 | 45.52 | 46.42 | 1.02 | + |
2021 | 30.70 | 30.54 | 0.99 | - |
2022 | -13.49 | -25.09 | 1.86 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-20 | 2020-06-09 | -31.71 | 110 |
2021-12-30 | 2022-02-25 | -30.51 | 57 |
2020-09-02 | 2020-12-01 | -12.67 | 90 |
2021-02-16 | 2021-04-08 | -9.56 | 51 |
2021-09-08 | 2021-11-02 | -7.74 | 55 |
2019-08-01 | 2019-10-28 | -7.64 | 88 |
2021-04-27 | 2021-06-14 | -7.51 | 48 |
2021-11-22 | 2021-12-29 | -6.24 | 37 |
2019-05-23 | 2019-06-07 | -4.96 | 15 |
2020-06-11 | 2020-06-19 | -4.31 | 8 |