Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -1.55% | -17.34% |
CAGR﹪ | -1.06% | -12.22% |
Sharpe | -5.6 | -4.26 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.63 | -3.53 |
Sortino | -5.84 | -4.69 |
Smart Sortino | -4.84 | -3.88 |
Sortino/√2 | -4.13 | -3.32 |
Smart Sortino/√2 | -3.42 | -2.75 |
Omega | 0.31 | 0.31 |
Max Drawdown | -46.17% | -60.79% |
Longest DD Days | 122 | 122 |
Volatility (ann.) | 36.27% | 48.82% |
R^2 | 0.67 | 0.67 |
Information Ratio | 0.01 | 0.01 |
Calmar | -0.02 | -0.2 |
Skew | -2.12 | -4.4 |
Kurtosis | 17.27 | 87.33 |
Expected Daily | -0.0% | -0.05% |
Expected Monthly | -0.09% | -1.05% |
Expected Yearly | -0.52% | -6.15% |
Kelly Criterion | -1.69% | -2.88% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.74% | -5.06% |
Expected Shortfall (cVaR) | -3.74% | -5.06% |
Max Consecutive Wins | 7 | 8 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | 0.03 | 0.0 |
Gain/Pain (1M) | 0.16 | 0.02 |
Payoff Ratio | 0.73 | 0.68 |
Profit Factor | 1.03 | 1.0 |
Common Sense Ratio | 0.99 | 0.84 |
CPC Index | 0.43 | 0.4 |
Tail Ratio | 0.96 | 0.84 |
Outlier Win Ratio | 4.16 | 4.29 |
Outlier Loss Ratio | 3.67 | 3.51 |
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.) | -1.06% | -12.22% |
5Y (ann.) | -1.06% | -12.22% |
10Y (ann.) | -1.06% | -12.22% |
All-time (ann.) | -1.06% | -12.22% |
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 | 20.74% | 20.63% |
Worst Year | -29.92% | -41.02% |
Avg. Drawdown | -4.14% | -5.13% |
Avg. Drawdown Days | 15 | 17 |
Recovery Factor | -0.03 | -0.29 |
Ulcer Index | 0.1 | 0.1 |
Serenity Index | -8.28 | -10.93 |
Avg. Up Month | 6.33% | 6.37% |
Avg. Down Month | -7.15% | -8.77% |
Win Days | 57.22% | 58.54% |
Win Month | 55.56% | 55.56% |
Win Quarter | 57.14% | 57.14% |
Win Year | 66.67% | 66.67% |
Beta | 0.61 | - |
Alpha | 0.05 | - |
Correlation | 81.98% | - |
Treynor Ratio | -1151.87% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 16.19 | 16.35 | 1.01 | + |
2021 | 20.63 | 20.74 | 1.01 | + |
2022 | -41.02 | -29.92 | 0.73 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-26 | 2022-02-25 | -46.17 | 122 |
2020-09-17 | 2020-11-13 | -13.27 | 57 |
2021-01-15 | 2021-03-11 | -9.39 | 55 |
2021-03-16 | 2021-05-07 | -9.04 | 52 |
2021-09-16 | 2021-09-27 | -7.18 | 11 |
2021-06-15 | 2021-08-11 | -6.50 | 57 |
2020-12-18 | 2021-01-05 | -6.06 | 18 |
2021-08-18 | 2021-09-01 | -3.53 | 14 |
2021-10-21 | 2021-10-25 | -2.06 | 4 |
2020-11-19 | 2020-11-24 | -1.85 | 5 |