Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 56.0% | 96.0% |
Cumulative Return | -9.22% | -4.27% |
CAGR﹪ | -31.04% | -15.43% |
Sharpe | -12.16 | -12.1 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -10.17 | -10.11 |
Sortino | -9.75 | -10.18 |
Smart Sortino | -8.15 | -8.51 |
Sortino/√2 | -6.9 | -7.2 |
Smart Sortino/√2 | -5.76 | -6.02 |
Omega | 0.04 | 0.04 |
Max Drawdown | -13.24% | -10.81% |
Longest DD Days | 81 | 85 |
Volatility (ann.) | 21.24% | 19.05% |
R^2 | 0.21 | 0.21 |
Information Ratio | -0.08 | -0.08 |
Calmar | -2.34 | -1.43 |
Skew | -2.48 | 0.07 |
Kurtosis | 7.57 | 0.64 |
Expected Daily | -0.21% | -0.09% |
Expected Monthly | -1.92% | -0.87% |
Expected Yearly | -4.72% | -2.16% |
Kelly Criterion | -41.71% | -50.63% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.4% | -2.06% |
Expected Shortfall (cVaR) | -2.4% | -2.06% |
Max Consecutive Wins | 3 | 4 |
Max Consecutive Losses | 3 | 6 |
Gain/Pain Ratio | -0.44 | -0.18 |
Gain/Pain (1M) | -0.9 | -0.46 |
Payoff Ratio | 0.48 | 0.51 |
Profit Factor | 0.56 | 0.82 |
Common Sense Ratio | 0.27 | 0.89 |
CPC Index | 0.15 | 0.21 |
Tail Ratio | 0.47 | 1.08 |
Outlier Win Ratio | 5.82 | 2.5 |
Outlier Loss Ratio | 2.28 | 4.02 |
MTD | 0.0% | -0.79% |
3M | -10.15% | -5.16% |
6M | -9.22% | -4.27% |
YTD | -10.15% | -5.16% |
1Y | -9.22% | -4.27% |
3Y (ann.) | -31.04% | -15.43% |
5Y (ann.) | -31.04% | -15.43% |
10Y (ann.) | -31.04% | -15.43% |
All-time (ann.) | -31.04% | -15.43% |
Best Day | 1.38% | 3.04% |
Worst Day | -5.61% | -3.22% |
Best Month | 1.04% | 3.88% |
Worst Month | -5.35% | -5.04% |
Best Year | 1.04% | 0.94% |
Worst Year | -10.15% | -5.16% |
Avg. Drawdown | -13.24% | -5.86% |
Avg. Drawdown Days | 81 | 44 |
Recovery Factor | -0.7 | -0.39 |
Ulcer Index | 0.07 | 0.05 |
Serenity Index | -10.22 | -20.01 |
Avg. Up Month | 1.04% | 0.94% |
Avg. Down Month | -5.21% | -4.06% |
Win Days | 53.85% | 48.89% |
Win Month | 33.33% | 40.0% |
Win Quarter | 50.0% | 33.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.51 | - |
Alpha | -0.39 | - |
Correlation | 45.3% | - |
Treynor Ratio | -1403.8% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.94 | 1.04 | 1.11 | + |
2022 | -5.16 | -10.15 | 1.97 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-10 | 2022-04-01 | -13.24 | 81 |