Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | 0.1% | -16.1% |
CAGR﹪ | 0.04% | -6.14% |
Sharpe | -5.6 | -4.69 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.96 | -4.15 |
Sortino | -5.86 | -5.12 |
Smart Sortino | -5.19 | -4.53 |
Sortino/√2 | -4.14 | -3.62 |
Smart Sortino/√2 | -3.67 | -3.2 |
Omega | 0.32 | 0.32 |
Max Drawdown | -48.35% | -60.81% |
Longest DD Days | 472 | 472 |
Volatility (ann.) | 36.09% | 43.7% |
R^2 | 0.73 | 0.73 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.0 | -0.1 |
Skew | -1.8 | -3.67 |
Kurtosis | 13.25 | 77.31 |
Expected Daily | 0.0% | -0.03% |
Expected Monthly | 0.0% | -0.51% |
Expected Yearly | 0.03% | -4.29% |
Kelly Criterion | 0.39% | -1.32% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.71% | -4.51% |
Expected Shortfall (cVaR) | -3.71% | -4.51% |
Max Consecutive Wins | 9 | 10 |
Max Consecutive Losses | 6 | 7 |
Gain/Pain Ratio | 0.04 | 0.02 |
Gain/Pain (1M) | 0.17 | 0.09 |
Payoff Ratio | 0.79 | 0.76 |
Profit Factor | 1.04 | 1.02 |
Common Sense Ratio | 0.91 | 0.83 |
CPC Index | 0.46 | 0.44 |
Tail Ratio | 0.88 | 0.81 |
Outlier Win Ratio | 4.19 | 4.29 |
Outlier Loss Ratio | 4.51 | 4.49 |
MTD | -23.17% | -34.74% |
3M | -31.7% | -42.84% |
6M | -31.63% | -42.6% |
YTD | -29.92% | -40.99% |
1Y | -19.42% | -32.09% |
3Y (ann.) | 0.04% | -6.14% |
5Y (ann.) | 0.04% | -6.14% |
10Y (ann.) | 0.04% | -6.14% |
All-time (ann.) | 0.04% | -6.14% |
Best Day | 9.36% | 26.1% |
Worst Day | -17.58% | -39.42% |
Best Month | 19.76% | 20.16% |
Worst Month | -23.17% | -34.74% |
Best Year | 27.13% | 26.62% |
Worst Year | -29.92% | -40.99% |
Avg. Drawdown | -4.96% | -5.83% |
Avg. Drawdown Days | 29 | 32 |
Recovery Factor | 0.0 | -0.26 |
Ulcer Index | 0.16 | 0.17 |
Serenity Index | -3.14 | -3.8 |
Avg. Up Month | 5.97% | 5.96% |
Avg. Down Month | -8.11% | -9.04% |
Win Days | 55.95% | 56.12% |
Win Month | 61.76% | 58.82% |
Win Quarter | 58.33% | 58.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.71 | - |
Alpha | 0.04 | - |
Correlation | 85.57% | - |
Treynor Ratio | -990.4% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 26.62 | 27.13 | 1.02 | + |
2020 | -6.35 | -6.94 | 1.09 | - |
2021 | 19.91 | 20.74 | 1.04 | + |
2022 | -40.99 | -29.92 | 0.73 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-01-21 | 2021-05-07 | -48.35 | 472 |
2021-10-26 | 2022-02-25 | -46.17 | 122 |
2019-07-11 | 2019-09-16 | -10.85 | 67 |
2021-09-16 | 2021-09-27 | -7.18 | 11 |
2021-06-11 | 2021-08-11 | -6.17 | 61 |
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 |