Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 3.33% | -12.19% |
CAGR﹪ | 1.19% | -4.57% |
Sharpe | -5.69 | -4.76 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.05 | -4.22 |
Sortino | -5.92 | -5.16 |
Smart Sortino | -5.25 | -4.58 |
Sortino/√2 | -4.19 | -3.65 |
Smart Sortino/√2 | -3.71 | -3.24 |
Omega | 0.31 | 0.31 |
Max Drawdown | -48.35% | -60.79% |
Longest DD Days | 472 | 472 |
Volatility (ann.) | 35.33% | 42.75% |
R^2 | 0.74 | 0.74 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.02 | -0.08 |
Skew | -1.89 | -3.83 |
Kurtosis | 13.83 | 81.21 |
Expected Daily | 0.0% | -0.02% |
Expected Monthly | 0.1% | -0.38% |
Expected Yearly | 0.82% | -3.2% |
Kelly Criterion | 0.96% | -0.61% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.63% | -4.41% |
Expected Shortfall (cVaR) | -3.63% | -4.41% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | 0.04 | 0.03 |
Gain/Pain (1M) | 0.21 | 0.14 |
Payoff Ratio | 0.79 | 0.75 |
Profit Factor | 1.04 | 1.03 |
Common Sense Ratio | 0.97 | 0.85 |
CPC Index | 0.46 | 0.44 |
Tail Ratio | 0.93 | 0.83 |
Outlier Win Ratio | 4.12 | 4.17 |
Outlier Loss Ratio | 4.42 | 4.42 |
MTD | -23.17% | -34.72% |
3M | -31.7% | -42.84% |
6M | -31.63% | -42.5% |
YTD | -29.92% | -41.02% |
1Y | -19.42% | -31.81% |
3Y (ann.) | 1.19% | -4.57% |
5Y (ann.) | 1.19% | -4.57% |
10Y (ann.) | 1.19% | -4.57% |
All-time (ann.) | 1.19% | -4.57% |
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 | 31.23% | 30.77% |
Worst Year | -29.92% | -41.02% |
Avg. Drawdown | -4.7% | -5.8% |
Avg. Drawdown Days | 27 | 32 |
Recovery Factor | 0.07 | -0.2 |
Ulcer Index | 0.16 | 0.16 |
Serenity Index | -3.07 | -3.81 |
Avg. Up Month | 5.77% | 5.83% |
Avg. Down Month | -8.68% | -9.7% |
Win Days | 56.37% | 56.75% |
Win Month | 64.71% | 61.76% |
Win Quarter | 58.33% | 58.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.71 | - |
Alpha | 0.04 | - |
Correlation | 85.87% | - |
Treynor Ratio | -981.77% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 30.77 | 31.23 | 1.02 | + |
2020 | -5.62 | -6.94 | 1.24 | - |
2021 | 20.63 | 20.74 | 1.01 | + |
2022 | -41.02 | -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 |
2021-06-15 | 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 |