Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 57.0% | 100.0% |
Cumulative Return | 3.2% | 21.78% |
CAGR﹪ | 0.65% | 4.14% |
Sharpe | -7.67 | -5.17 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.81 | -4.59 |
Sortino | -7.56 | -5.59 |
Smart Sortino | -6.71 | -4.96 |
Sortino/√2 | -5.34 | -3.95 |
Smart Sortino/√2 | -4.74 | -3.51 |
Omega | 0.2 | 0.2 |
Max Drawdown | -48.35% | -60.79% |
Longest DD Days | 884 | 884 |
Volatility (ann.) | 26.66% | 38.07% |
R^2 | 0.53 | 0.53 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.01 | 0.07 |
Skew | -2.48 | -3.21 |
Kurtosis | 26.37 | 74.76 |
Expected Daily | 0.0% | 0.02% |
Expected Monthly | 0.05% | 0.33% |
Expected Yearly | 0.53% | 3.34% |
Kelly Criterion | 0.91% | -4.78% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.75% | -3.9% |
Expected Shortfall (cVaR) | -2.75% | -3.9% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 6 | 11 |
Gain/Pain Ratio | 0.04 | 0.07 |
Gain/Pain (1M) | 0.21 | 0.34 |
Payoff Ratio | 0.79 | 0.75 |
Profit Factor | 1.04 | 1.07 |
Common Sense Ratio | 1.09 | 1.09 |
CPC Index | 0.46 | 0.44 |
Tail Ratio | 1.04 | 1.02 |
Outlier Win Ratio | 9.42 | 4.04 |
Outlier Loss Ratio | 3.69 | 4.02 |
MTD | 0.0% | 0.21% |
3M | 0.0% | 6.26% |
6M | 0.0% | 15.56% |
YTD | 0.0% | 4.81% |
1Y | 0.0% | 19.7% |
3Y (ann.) | -8.42% | -3.43% |
5Y (ann.) | 0.65% | 4.14% |
10Y (ann.) | 0.65% | 4.14% |
All-time (ann.) | 0.65% | 4.14% |
Best Day | 9.36% | 26.12% |
Worst Day | -17.58% | -39.44% |
Best Month | 19.76% | 20.21% |
Worst Month | -23.17% | -34.72% |
Best Year | 31.06% | 30.61% |
Worst Year | -29.92% | -33.88% |
Avg. Drawdown | -4.7% | -5.46% |
Avg. Drawdown Days | 50 | 55 |
Recovery Factor | 0.07 | 0.36 |
Ulcer Index | 0.29 | 0.28 |
Serenity Index | -0.77 | -1.16 |
Avg. Up Month | 5.76% | 5.83% |
Avg. Down Month | -8.68% | -9.7% |
Win Days | 56.3% | 55.25% |
Win Month | 64.71% | 66.1% |
Win Quarter | 58.33% | 65.0% |
Win Year | 50.0% | 66.67% |
Beta | 0.51 | - |
Alpha | -0.02 | - |
Correlation | 72.46% | - |
Treynor Ratio | -1373.11% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 30.61 | 31.06 | 1.01 | + |
2020 | -5.62 | -6.94 | 1.24 | - |
2021 | 20.63 | 20.74 | 1.01 | + |
2022 | -33.88 | -29.92 | 0.88 | + |
2023 | 18.18 | 0.00 | 0.00 | - |
2024 | 4.81 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-01-21 | 2021-05-07 | -48.35 | 472 |
2021-10-26 | 2024-03-28 | -46.17 | 884 |
2019-07-11 | 2019-09-16 | -10.85 | 67 |
2021-09-16 | 2021-09-27 | -7.18 | 11 |
2021-06-15 | 2021-08-11 | -6.50 | 57 |
2019-09-18 | 2019-10-23 | -5.80 | 35 |
2019-11-08 | 2019-12-12 | -4.74 | 34 |
2021-08-18 | 2021-09-01 | -3.53 | 14 |
2019-05-23 | 2019-06-03 | -2.31 | 11 |
2021-10-21 | 2021-10-25 | -2.06 | 4 |