Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 33.81% | 56.42% |
CAGR﹪ | 11.1% | 17.55% |
Sharpe | -8.7 | -8.05 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.55 | -7.92 |
Sortino | -8.18 | -8.04 |
Smart Sortino | -8.04 | -7.91 |
Sortino/√2 | -5.78 | -5.69 |
Smart Sortino/√2 | -5.69 | -5.59 |
Omega | 0.18 | 0.18 |
Max Drawdown | -32.48% | -33.94% |
Longest DD Days | 168 | 168 |
Volatility (ann.) | 22.45% | 23.5% |
R^2 | 0.31 | 0.31 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.34 | 0.52 |
Skew | -1.44 | -0.57 |
Kurtosis | 10.44 | 15.66 |
Expected Daily | 0.04% | 0.07% |
Expected Monthly | 0.86% | 1.32% |
Expected Yearly | 7.55% | 11.83% |
Kelly Criterion | 5.72% | 6.18% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.27% | -2.36% |
Expected Shortfall (cVaR) | -2.27% | -2.36% |
Max Consecutive Wins | 11 | 7 |
Max Consecutive Losses | 7 | 9 |
Gain/Pain Ratio | 0.13 | 0.19 |
Gain/Pain (1M) | 0.58 | 1.15 |
Payoff Ratio | 0.8 | 0.89 |
Profit Factor | 1.13 | 1.19 |
Common Sense Ratio | 1.07 | 1.02 |
CPC Index | 0.52 | 0.59 |
Tail Ratio | 0.95 | 0.86 |
Outlier Win Ratio | 4.96 | 4.66 |
Outlier Loss Ratio | 4.54 | 4.94 |
MTD | -16.68% | -3.0% |
3M | -21.25% | -7.71% |
6M | -17.82% | -3.71% |
YTD | -22.25% | -8.82% |
1Y | -6.13% | 10.16% |
3Y (ann.) | 11.1% | 17.55% |
5Y (ann.) | 11.1% | 17.55% |
10Y (ann.) | 11.1% | 17.55% |
All-time (ann.) | 11.1% | 17.55% |
Best Day | 6.49% | 9.34% |
Worst Day | -10.18% | -12.03% |
Best Month | 11.85% | 12.91% |
Worst Month | -16.68% | -12.55% |
Best Year | 27.39% | 26.87% |
Worst Year | -22.25% | -8.82% |
Avg. Drawdown | -2.09% | -1.9% |
Avg. Drawdown Days | 12 | 12 |
Recovery Factor | 1.04 | 1.66 |
Ulcer Index | 0.07 | 0.07 |
Serenity Index | -11.26 | -11.5 |
Avg. Up Month | 4.25% | 4.26% |
Avg. Down Month | -6.27% | -4.79% |
Win Days | 58.02% | 55.77% |
Win Month | 70.59% | 67.65% |
Win Quarter | 75.0% | 83.33% |
Win Year | 75.0% | 75.0% |
Beta | 0.53 | - |
Alpha | 0.03 | - |
Correlation | 55.25% | - |
Treynor Ratio | -1262.09% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 13.11 | 13.70 | 1.05 | + |
2020 | 19.55 | 18.82 | 0.96 | - |
2021 | 26.87 | 27.39 | 1.02 | + |
2022 | -8.82 | -22.25 | 2.52 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-21 | 2020-08-07 | -32.48 | 168 |
2021-12-30 | 2022-02-25 | -22.61 | 57 |
2020-09-03 | 2020-10-12 | -8.34 | 39 |
2020-10-13 | 2020-11-09 | -7.92 | 27 |
2019-07-30 | 2019-10-28 | -6.36 | 90 |
2021-02-16 | 2021-04-01 | -5.21 | 44 |
2021-09-07 | 2021-10-22 | -5.20 | 45 |
2021-11-23 | 2021-12-29 | -4.66 | 36 |
2021-04-30 | 2021-05-28 | -3.80 | 28 |
2021-01-27 | 2021-02-04 | -3.49 | 8 |