Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -13.22% | -5.29% |
CAGR﹪ | -24.63% | -10.28% |
Sharpe | -21.67 | -36.4 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -13.57 | -22.79 |
Sortino | -12.83 | -14.56 |
Smart Sortino | -8.03 | -9.12 |
Sortino/√2 | -9.07 | -10.3 |
Smart Sortino/√2 | -5.68 | -6.45 |
Omega | 0.0 | 0.0 |
Max Drawdown | -15.96% | -8.64% |
Longest DD Days | 107 | 107 |
Volatility (ann.) | 11.02% | 6.05% |
R^2 | 0.09 | 0.09 |
Information Ratio | -0.11 | -0.11 |
Calmar | -1.54 | -1.19 |
Skew | -4.7 | -2.56 |
Kurtosis | 33.27 | 15.84 |
Expected Daily | -0.12% | -0.05% |
Expected Monthly | -2.0% | -0.77% |
Expected Yearly | -6.84% | -2.68% |
Kelly Criterion | -31.12% | -32.37% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.26% | -0.67% |
Expected Shortfall (cVaR) | -1.26% | -0.67% |
Max Consecutive Wins | 6 | 6 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | -0.49 | -0.32 |
Gain/Pain (1M) | -0.75 | -0.61 |
Payoff Ratio | 0.59 | 0.59 |
Profit Factor | 0.51 | 0.68 |
Common Sense Ratio | 0.37 | 0.48 |
CPC Index | 0.15 | 0.2 |
Tail Ratio | 0.73 | 0.7 |
Outlier Win Ratio | 3.39 | 4.23 |
Outlier Loss Ratio | 3.49 | 6.0 |
MTD | -12.5% | -4.46% |
3M | -14.14% | -6.16% |
6M | -13.22% | -5.29% |
YTD | -15.76% | -7.65% |
1Y | -13.22% | -5.29% |
3Y (ann.) | -24.63% | -10.28% |
5Y (ann.) | -24.63% | -10.28% |
10Y (ann.) | -24.63% | -10.28% |
All-time (ann.) | -24.63% | -10.28% |
Best Day | 0.94% | 0.91% |
Worst Day | -5.52% | -2.57% |
Best Month | 2.6% | 2.1% |
Worst Month | -12.5% | -4.46% |
Best Year | 3.02% | 2.55% |
Worst Year | -15.76% | -7.65% |
Avg. Drawdown | -4.74% | -2.6% |
Avg. Drawdown Days | 40 | 40 |
Recovery Factor | -0.83 | -0.61 |
Ulcer Index | 0.04 | 0.03 |
Serenity Index | -19.47 | -14.42 |
Avg. Up Month | 1.53% | 1.13% |
Avg. Down Month | -5.86% | -2.89% |
Win Days | 51.3% | 50.86% |
Win Month | 42.86% | 57.14% |
Win Quarter | 66.67% | 66.67% |
Win Year | 50.0% | 50.0% |
Beta | 0.54 | - |
Alpha | -0.24 | - |
Correlation | 29.75% | - |
Treynor Ratio | -1317.3% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.55 | 3.02 | 1.18 | + |
2022 | -7.65 | -15.76 | 2.06 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-10 | 2022-02-25 | -15.96 | 107 |
2021-09-16 | 2021-11-05 | -2.23 | 50 |
2021-09-02 | 2021-09-03 | -0.50 | 1 |
2021-09-07 | 2021-09-10 | -0.24 | 3 |