Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -13.16% | 4.23% |
CAGR﹪ | -23.53% | 8.19% |
Sharpe | -2.45 | 70.08 |
Prob. Sharpe Ratio | 0.48% | 100.0% |
Smart Sharpe | -1.71 | 48.98 |
Sortino | -2.6 | - |
Smart Sortino | -1.82 | - |
Sortino/√2 | -1.84 | - |
Smart Sortino/√2 | -1.29 | - |
Omega | 0.56 | 0.56 |
Max Drawdown | -15.96% | - |
Longest DD Days | - | - |
Volatility (ann.) | 10.53% | 0.11% |
R^2 | 0.03 | 0.03 |
Information Ratio | -0.2 | -0.2 |
Calmar | -1.47 | - |
Skew | -4.71 | 0.34 |
Kurtosis | 34.86 | 2.62 |
Expected Daily | -0.1% | 0.03% |
Expected Monthly | -2.0% | 0.59% |
Expected Yearly | -6.81% | 2.09% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.19% | -0.02% |
Expected Shortfall (cVaR) | -1.19% | -0.02% |
Max Consecutive Wins | 6 | 134 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | -0.44 | - |
Gain/Pain (1M) | -0.75 | - |
Payoff Ratio | - | - |
Profit Factor | 0.56 | - |
Common Sense Ratio | 0.4 | - |
CPC Index | - | - |
Tail Ratio | 0.72 | 1.95 |
Outlier Win Ratio | 1.98 | 16.14 |
Outlier Loss Ratio | 2.61 | - |
MTD | -12.5% | 0.71% |
3M | -14.14% | 2.13% |
6M | -13.63% | 3.98% |
YTD | -15.76% | 1.36% |
1Y | -13.16% | 4.23% |
3Y (ann.) | -23.53% | 8.19% |
5Y (ann.) | -23.53% | 8.19% |
10Y (ann.) | -23.53% | 8.19% |
All-time (ann.) | -23.53% | 8.19% |
Best Day | 0.96% | 0.05% |
Worst Day | -5.52% | 0.0% |
Best Month | 2.6% | 0.71% |
Worst Month | -12.5% | 0.47% |
Best Year | 3.08% | 2.82% |
Worst Year | -15.76% | 1.36% |
Avg. Drawdown | -3.38% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.82 | - |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | -0.37 | - |
Avg. Up Month | 1.55% | 0.56% |
Avg. Down Month | - | - |
Win Days | 50.38% | 100.0% |
Win Month | 42.86% | 100.0% |
Win Quarter | 66.67% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | -15.6 | - |
Alpha | 0.95 | - |
Correlation | -16.33% | - |
Treynor Ratio | 0.84% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.82 | 3.08 | 1.09 | + |
2022 | 1.36 | -15.76 | -11.55 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-10 | 2022-02-25 | -15.96 | 107 |
2021-09-16 | 2021-11-05 | -2.65 | 50 |
2021-08-26 | 2021-08-27 | -0.59 | 1 |
2021-09-02 | 2021-09-03 | -0.50 | 1 |
2021-08-18 | 2021-08-23 | -0.35 | 5 |
2021-09-06 | 2021-09-10 | -0.24 | 4 |