Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | -1.11% | 3.87% |
CAGR﹪ | -4.08% | 15.21% |
Sharpe | -0.08 | 35.69 |
Prob. Sharpe Ratio | 48.3% | - |
Smart Sharpe | -0.07 | 32.08 |
Sortino | -0.12 | - |
Smart Sortino | -0.1 | - |
Sortino/√2 | -0.08 | - |
Smart Sortino/√2 | -0.07 | - |
Omega | 0.99 | 0.99 |
Max Drawdown | -11.01% | - |
Longest DD Days | - | - |
Volatility (ann.) | 21.81% | 0.39% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.05 | -0.05 |
Calmar | -0.37 | - |
Skew | -0.05 | 1.48 |
Kurtosis | -0.33 | 2.28 |
Expected Daily | -0.02% | 0.06% |
Expected Monthly | -0.28% | 0.95% |
Expected Yearly | -0.56% | 1.92% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.27% | -0.02% |
Expected Shortfall (cVaR) | -2.27% | -0.02% |
Max Consecutive Wins | 4 | 67 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | -0.01 | - |
Gain/Pain (1M) | -0.05 | - |
Payoff Ratio | - | - |
Profit Factor | 0.99 | - |
Common Sense Ratio | 0.93 | - |
CPC Index | - | - |
Tail Ratio | 0.94 | 3.22 |
Outlier Win Ratio | 1.29 | 26.3 |
Outlier Loss Ratio | 1.38 | - |
MTD | -3.95% | 1.17% |
3M | -4.64% | 3.5% |
6M | -1.11% | 3.87% |
YTD | -8.72% | 2.17% |
1Y | -1.11% | 3.87% |
3Y (ann.) | -4.08% | 15.21% |
5Y (ann.) | -4.08% | 15.21% |
10Y (ann.) | -4.08% | 15.21% |
All-time (ann.) | -4.08% | 15.21% |
Best Day | 3.12% | 0.12% |
Worst Day | -3.08% | 0.0% |
Best Month | 9.43% | 1.17% |
Worst Month | -4.96% | 0.82% |
Best Year | 8.33% | 2.17% |
Worst Year | -8.72% | 1.67% |
Avg. Drawdown | -3.06% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.1 | - |
Ulcer Index | 0.06 | 0.0 |
Serenity Index | -0.03 | - |
Avg. Up Month | 9.43% | 0.82% |
Avg. Down Month | - | - |
Win Days | 47.76% | 100.0% |
Win Month | 25.0% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | -5.59 | - |
Alpha | 0.77 | - |
Correlation | -10.12% | - |
Treynor Ratio | 0.2% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.67 | 8.33 | 5.00 | + |
2022 | 2.17 | -8.72 | -4.01 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-02-25 | -11.01 | 51 |
2021-11-25 | 2021-12-22 | -5.70 | 27 |
2021-12-23 | 2021-12-24 | -0.74 | 1 |
2022-01-03 | 2022-01-04 | -0.58 | 1 |
2021-11-23 | 2021-11-24 | -0.27 | 1 |
2021-12-27 | 2021-12-28 | -0.06 | 1 |