Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 95.0% | 95.0% |
Cumulative Return | -1.33% | 0.67% |
CAGR﹪ | -19.08% | 11.24% |
Sharpe | -0.35 | 61.6 |
Prob. Sharpe Ratio | 46.52% | 96.13% |
Smart Sharpe | -0.16 | 28.74 |
Sortino | -0.6 | - |
Smart Sortino | -0.28 | - |
Sortino/√2 | -0.43 | - |
Smart Sortino/√2 | -0.2 | - |
Omega | 0.94 | 0.94 |
Max Drawdown | -4.28% | - |
Longest DD Days | - | - |
Volatility (ann.) | 37.6% | 0.16% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.04 | -0.04 |
Calmar | -4.46 | - |
Skew | 1.27 | -4.12 |
Kurtosis | 2.37 | 17.0 |
Expected Daily | -0.08% | 0.04% |
Expected Monthly | -1.33% | 0.67% |
Expected Yearly | -1.33% | 0.67% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.95% | -0.02% |
Expected Shortfall (cVaR) | -3.95% | -0.02% |
Max Consecutive Wins | 1 | 16 |
Max Consecutive Losses | 3 | 0 |
Gain/Pain Ratio | -0.06 | - |
Gain/Pain (1M) | -1.0 | - |
Payoff Ratio | - | - |
Profit Factor | 0.94 | - |
Common Sense Ratio | 0.97 | - |
CPC Index | - | - |
Tail Ratio | 1.03 | 1.25 |
Outlier Win Ratio | 1.35 | 73.63 |
Outlier Loss Ratio | 0.98 | - |
MTD | -1.33% | 0.67% |
3M | -1.33% | 0.67% |
6M | -1.33% | 0.67% |
YTD | -1.33% | 0.67% |
1Y | -1.33% | 0.67% |
3Y (ann.) | -19.08% | 11.24% |
5Y (ann.) | -19.08% | 11.24% |
10Y (ann.) | -19.08% | 11.24% |
All-time (ann.) | -19.08% | 11.24% |
Best Day | 6.5% | 0.04% |
Worst Day | -3.2% | 0.0% |
Best Month | -1.33% | 0.67% |
Worst Month | -1.33% | 0.67% |
Best Year | -1.33% | 0.67% |
Worst Year | -1.33% | 0.67% |
Avg. Drawdown | -3.74% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.31 | - |
Ulcer Index | 0.02 | 0.0 |
Serenity Index | -0.4 | - |
Avg. Up Month | - | - |
Avg. Down Month | - | - |
Win Days | 37.5% | 100.0% |
Win Month | 0.0% | 100.0% |
Win Quarter | 0.0% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | -1.33 | - |
Alpha | 0.0 | - |
Correlation | -0.57% | - |
Treynor Ratio | 1.0% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 0.67 | -1.33 | -1.97 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-03 | 2022-02-24 | -4.28 | 21 |
2022-02-25 | 2022-02-25 | -3.20 | 0 |