Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 9.87% | -21.48% |
CAGR﹪ | 4.61% | -10.92% |
Sharpe | -8.94 | -5.85 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.04 | -5.26 |
Sortino | -8.25 | -6.08 |
Smart Sortino | -7.42 | -5.47 |
Sortino/√2 | -5.83 | -4.3 |
Smart Sortino/√2 | -5.25 | -3.87 |
Omega | 0.18 | 0.18 |
Max Drawdown | -28.83% | -52.0% |
Longest DD Days | 182 | 309 |
Volatility (ann.) | 22.56% | 36.4% |
R^2 | 0.27 | 0.27 |
Information Ratio | 0.02 | 0.02 |
Calmar | 0.16 | -0.21 |
Skew | -1.77 | -4.9 |
Kurtosis | 11.95 | 95.59 |
Expected Daily | 0.02% | -0.05% |
Expected Monthly | 0.36% | -0.93% |
Expected Yearly | 3.19% | -7.74% |
Kelly Criterion | -2.76% | -20.64% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.31% | -3.79% |
Expected Shortfall (cVaR) | -2.31% | -3.79% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 8 | 5 |
Gain/Pain Ratio | 0.06 | -0.03 |
Gain/Pain (1M) | 0.34 | -0.12 |
Payoff Ratio | 0.72 | 0.6 |
Profit Factor | 1.06 | 0.97 |
Common Sense Ratio | 1.04 | 0.8 |
CPC Index | 0.44 | 0.32 |
Tail Ratio | 0.97 | 0.82 |
Outlier Win Ratio | 4.27 | 3.5 |
Outlier Loss Ratio | 4.91 | 4.03 |
MTD | -15.19% | -30.02% |
3M | -18.35% | -37.47% |
6M | -14.21% | -36.47% |
YTD | -18.58% | -34.77% |
1Y | -8.14% | -27.03% |
3Y (ann.) | 4.61% | -10.92% |
5Y (ann.) | 4.61% | -10.92% |
10Y (ann.) | 4.61% | -10.92% |
All-time (ann.) | 4.61% | -10.92% |
Best Day | 4.61% | 20.04% |
Worst Day | -11.57% | -33.28% |
Best Month | 10.56% | 15.5% |
Worst Month | -15.19% | -30.02% |
Best Year | 19.01% | 15.15% |
Worst Year | -18.58% | -34.77% |
Avg. Drawdown | -2.54% | -4.72% |
Avg. Drawdown Days | 16 | 25 |
Recovery Factor | 0.34 | -0.41 |
Ulcer Index | 0.07 | 0.1 |
Serenity Index | -10.85 | -8.64 |
Avg. Up Month | 3.88% | 4.27% |
Avg. Down Month | -4.85% | -8.44% |
Win Days | 57.03% | 54.92% |
Win Month | 61.54% | 57.69% |
Win Quarter | 66.67% | 66.67% |
Win Year | 66.67% | 66.67% |
Beta | 0.32 | - |
Alpha | 0.08 | - |
Correlation | 52.05% | - |
Treynor Ratio | -2139.33% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 4.54 | 13.39 | 2.95 | + |
2021 | 15.15 | 19.01 | 1.25 | + |
2022 | -34.77 | -18.58 | 0.53 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-21 | 2020-08-21 | -28.83 | 182 |
2021-11-18 | 2022-02-25 | -19.36 | 99 |
2020-09-03 | 2020-11-09 | -7.45 | 67 |
2021-02-18 | 2021-04-05 | -5.29 | 46 |
2021-09-09 | 2021-10-19 | -5.07 | 40 |
2021-04-19 | 2021-06-01 | -4.11 | 43 |
2021-01-27 | 2021-02-05 | -3.65 | 9 |
2020-01-27 | 2020-02-04 | -2.52 | 8 |
2021-07-15 | 2021-08-12 | -2.52 | 28 |
2021-08-17 | 2021-08-27 | -2.33 | 10 |