Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 99.0% |
Cumulative Return | 12.44% | 8.13% |
CAGR﹪ | 6.15% | 4.06% |
Sharpe | -7.61 | -7.56 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.09 | -7.04 |
Sortino | -7.43 | -7.27 |
Smart Sortino | -6.92 | -6.77 |
Sortino/√2 | -5.25 | -5.14 |
Smart Sortino/√2 | -4.89 | -4.79 |
Omega | 0.21 | 0.21 |
Max Drawdown | -38.18% | -42.86% |
Longest DD Days | 127 | 127 |
Volatility (ann.) | 26.19% | 26.61% |
R^2 | 0.86 | 0.86 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.16 | 0.09 |
Skew | -1.6 | -2.3 |
Kurtosis | 13.35 | 16.81 |
Expected Daily | 0.02% | 0.02% |
Expected Monthly | 0.49% | 0.33% |
Expected Yearly | 3.99% | 2.64% |
Kelly Criterion | 0.48% | 3.08% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.68% | -2.73% |
Expected Shortfall (cVaR) | -2.68% | -2.73% |
Max Consecutive Wins | 11 | 9 |
Max Consecutive Losses | 5 | 4 |
Gain/Pain Ratio | 0.07 | 0.06 |
Gain/Pain (1M) | 0.37 | 0.26 |
Payoff Ratio | 0.83 | 0.8 |
Profit Factor | 1.07 | 1.06 |
Common Sense Ratio | 1.02 | 1.0 |
CPC Index | 0.49 | 0.48 |
Tail Ratio | 0.95 | 0.94 |
Outlier Win Ratio | 3.72 | 3.96 |
Outlier Loss Ratio | 4.43 | 4.23 |
MTD | -26.79% | -32.01% |
3M | -32.68% | -38.13% |
6M | -31.59% | -36.65% |
YTD | -30.75% | -35.79% |
1Y | -19.18% | -24.45% |
3Y (ann.) | 6.15% | 4.06% |
5Y (ann.) | 6.15% | 4.06% |
10Y (ann.) | 6.15% | 4.06% |
All-time (ann.) | 6.15% | 4.06% |
Best Day | 7.78% | 7.27% |
Worst Day | -13.29% | -13.96% |
Best Month | 14.67% | 15.17% |
Worst Month | -26.79% | -32.01% |
Best Year | 35.03% | 39.5% |
Worst Year | -30.75% | -35.79% |
Avg. Drawdown | -2.99% | -3.24% |
Avg. Drawdown Days | 14 | 14 |
Recovery Factor | 0.33 | 0.19 |
Ulcer Index | 0.07 | 0.07 |
Serenity Index | -13.54 | -13.8 |
Avg. Up Month | 4.65% | 4.69% |
Avg. Down Month | -6.94% | -7.68% |
Win Days | 54.79% | 57.06% |
Win Month | 62.5% | 70.83% |
Win Quarter | 66.67% | 77.78% |
Win Year | 66.67% | 66.67% |
Beta | 0.91 | - |
Alpha | 0.02 | - |
Correlation | 92.78% | - |
Treynor Ratio | -753.07% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 39.50 | 35.03 | 0.89 | - |
2021 | 20.73 | 20.25 | 0.98 | - |
2022 | -35.79 | -30.75 | 0.86 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2022-02-25 | -38.18 | 127 |
2020-03-11 | 2020-04-03 | -15.97 | 23 |
2020-08-14 | 2020-11-13 | -10.61 | 91 |
2020-04-10 | 2020-05-19 | -7.35 | 39 |
2021-01-15 | 2021-03-11 | -6.73 | 55 |
2021-03-16 | 2021-04-16 | -4.32 | 31 |
2021-07-08 | 2021-08-10 | -4.24 | 33 |
2020-06-04 | 2020-07-06 | -3.63 | 32 |
2020-12-18 | 2020-12-28 | -2.82 | 10 |
2021-09-16 | 2021-09-27 | -2.80 | 11 |