Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 87.0% | 100.0% |
Cumulative Return | 38.83% | 75.74% |
CAGR﹪ | 3.8% | 6.62% |
Sharpe | -14.44 | -8.34 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -13.72 | -7.92 |
Sortino | -11.4 | -8.01 |
Smart Sortino | -10.83 | -7.61 |
Sortino/√2 | -8.06 | -5.67 |
Smart Sortino/√2 | -7.66 | -5.38 |
Omega | 0.05 | 0.05 |
Max Drawdown | -42.27% | -52.0% |
Longest DD Days | 780 | 393 |
Volatility (ann.) | 14.12% | 23.87% |
R^2 | 0.03 | 0.03 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.09 | 0.13 |
Skew | -4.06 | -4.54 |
Kurtosis | 176.97 | 132.2 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.31% | 0.53% |
Expected Yearly | 3.34% | 5.8% |
Kelly Criterion | 7.57% | -12.91% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.44% | -2.43% |
Expected Shortfall (cVaR) | -1.44% | -2.43% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 7 | 9 |
Gain/Pain Ratio | 0.11 | 0.09 |
Gain/Pain (1M) | 0.52 | 0.53 |
Payoff Ratio | 0.86 | 0.72 |
Profit Factor | 1.11 | 1.09 |
Common Sense Ratio | 1.12 | 1.09 |
CPC Index | 0.55 | 0.41 |
Tail Ratio | 1.01 | 1.0 |
Outlier Win Ratio | 8.42 | 2.89 |
Outlier Loss Ratio | 5.94 | 3.05 |
MTD | -21.51% | -30.02% |
3M | -24.97% | -37.47% |
6M | -24.86% | -36.47% |
YTD | -25.05% | -34.77% |
1Y | -21.47% | -27.03% |
3Y (ann.) | -1.91% | -0.31% |
5Y (ann.) | 2.05% | 3.97% |
10Y (ann.) | 3.8% | 6.62% |
All-time (ann.) | 3.8% | 6.62% |
Best Day | 15.11% | 20.04% |
Worst Day | -19.87% | -33.28% |
Best Month | 9.78% | 17.98% |
Worst Month | -21.51% | -30.02% |
Best Year | 33.04% | 28.55% |
Worst Year | -25.05% | -34.77% |
Avg. Drawdown | -0.91% | -4.12% |
Avg. Drawdown Days | 15 | 37 |
Recovery Factor | 0.92 | 1.46 |
Ulcer Index | 0.06 | 0.08 |
Serenity Index | -8.63 | -7.6 |
Avg. Up Month | 1.67% | 3.5% |
Avg. Down Month | -4.29% | -6.4% |
Win Days | 57.38% | 52.79% |
Win Month | 73.58% | 62.26% |
Win Quarter | 75.0% | 66.67% |
Win Year | 70.0% | 70.0% |
Beta | 0.1 | - |
Alpha | 0.04 | - |
Correlation | 16.46% | - |
Treynor Ratio | -6791.64% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2013 | 6.99 | -0.97 | -0.14 | - |
2014 | -7.15 | -21.67 | 3.03 | - |
2015 | 26.12 | 33.04 | 1.27 | + |
2016 | 26.76 | 17.22 | 0.64 | - |
2017 | -5.51 | 15.97 | -2.90 | + |
2018 | 12.30 | 1.04 | 0.08 | - |
2019 | 28.55 | 16.78 | 0.59 | - |
2020 | 7.98 | 6.69 | 0.84 | - |
2021 | 15.15 | 4.89 | 0.32 | - |
2022 | -34.77 | -25.05 | 0.72 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2013-09-30 | 2015-11-19 | -42.27 | 780 |
2021-11-17 | 2022-02-25 | -25.79 | 100 |
2020-02-27 | 2020-05-26 | -11.60 | 89 |
2018-01-26 | 2018-11-14 | -5.93 | 292 |
2013-05-24 | 2013-09-27 | -4.16 | 126 |
2016-11-08 | 2016-12-30 | -2.89 | 52 |
2016-07-14 | 2016-08-31 | -2.54 | 48 |
2016-09-23 | 2016-11-07 | -2.01 | 45 |
2016-01-15 | 2016-01-25 | -1.50 | 10 |
2016-06-20 | 2016-07-04 | -1.49 | 14 |