Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -17.84% | 37.61% |
CAGR﹪ | -8.97% | 16.5% |
Sharpe | -2.33 | -1.94 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.32 | -1.93 |
Sortino | -2.69 | -2.45 |
Smart Sortino | -2.68 | -2.44 |
Sortino/√2 | -1.9 | -1.73 |
Smart Sortino/√2 | -1.89 | -1.73 |
Omega | 0.64 | 0.64 |
Max Drawdown | -43.46% | -33.79% |
Longest DD Days | 364 | 172 |
Volatility (ann.) | 31.73% | 25.93% |
R^2 | 0.39 | 0.39 |
Information Ratio | -0.06 | -0.06 |
Calmar | -0.21 | 0.49 |
Skew | -2.11 | -0.55 |
Kurtosis | 15.83 | 13.29 |
Expected Daily | -0.04% | 0.06% |
Expected Monthly | -0.75% | 1.24% |
Expected Yearly | -6.34% | 11.23% |
Kelly Criterion | -5.61% | 2.2% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.31% | -2.61% |
Expected Shortfall (cVaR) | -3.31% | -2.61% |
Max Consecutive Wins | 9 | 7 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.03 | 0.16 |
Gain/Pain (1M) | -0.1 | 0.97 |
Payoff Ratio | 0.76 | 0.84 |
Profit Factor | 0.97 | 1.16 |
Common Sense Ratio | 0.81 | 1.02 |
CPC Index | 0.4 | 0.54 |
Tail Ratio | 0.83 | 0.88 |
Outlier Win Ratio | 3.98 | 4.87 |
Outlier Loss Ratio | 3.86 | 5.47 |
MTD | -21.0% | -2.77% |
3M | -26.23% | -6.4% |
6M | -23.79% | -1.57% |
YTD | -26.74% | -8.04% |
1Y | -18.61% | 13.29% |
3Y (ann.) | -8.97% | 16.5% |
5Y (ann.) | -8.97% | 16.5% |
10Y (ann.) | -8.97% | 16.5% |
All-time (ann.) | -8.97% | 16.5% |
Best Day | 6.19% | 9.39% |
Worst Day | -18.26% | -11.98% |
Best Month | 15.1% | 12.82% |
Worst Month | -22.96% | -12.35% |
Best Year | 18.59% | 29.88% |
Worst Year | -26.74% | -8.04% |
Avg. Drawdown | -6.13% | -1.96% |
Avg. Drawdown Days | 40 | 11 |
Recovery Factor | -0.41 | 1.11 |
Ulcer Index | 0.14 | 0.07 |
Serenity Index | -0.66 | -0.99 |
Avg. Up Month | 5.56% | 5.08% |
Avg. Down Month | -8.57% | -4.3% |
Win Days | 54.51% | 55.29% |
Win Month | 53.85% | 61.54% |
Win Quarter | 66.67% | 77.78% |
Win Year | 33.33% | 66.67% |
Beta | 0.76 | - |
Alpha | -0.19 | - |
Correlation | 62.13% | - |
Treynor Ratio | -155.0% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 15.21 | -5.42 | -0.36 | - |
2021 | 29.88 | 18.59 | 0.62 | - |
2022 | -8.04 | -26.74 | 3.33 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-13 | 2021-02-11 | -43.46 | 364 |
2021-10-27 | 2022-02-25 | -31.33 | 121 |
2021-02-18 | 2021-04-28 | -7.36 | 69 |
2021-09-16 | 2021-10-14 | -5.11 | 28 |
2021-05-10 | 2021-05-27 | -4.97 | 17 |
2021-06-29 | 2021-09-01 | -4.89 | 64 |
2020-01-27 | 2020-02-12 | -4.79 | 16 |
2021-06-16 | 2021-06-24 | -2.40 | 8 |
2021-04-29 | 2021-05-07 | -1.94 | 8 |
2021-09-10 | 2021-09-15 | -1.40 | 5 |