Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 93.0% | 93.0% |
Cumulative Return | 0.83% | 0.63% |
CAGR﹪ | 18.33% | 13.48% |
Sharpe | -4.8 | -7.17 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.15 | -3.21 |
Sortino | -6.2 | -7.71 |
Smart Sortino | -2.78 | -3.45 |
Sortino/√2 | -4.38 | -5.45 |
Smart Sortino/√2 | -1.96 | -2.44 |
Omega | 0.47 | 0.47 |
Max Drawdown | -4.28% | -2.56% |
Longest DD Days | 10 | 10 |
Volatility (ann.) | 38.96% | 27.08% |
R^2 | 0.83 | 0.83 |
Information Ratio | 0.02 | 0.02 |
Calmar | 4.28 | 5.26 |
Skew | 1.3 | 0.54 |
Kurtosis | 2.61 | 0.71 |
Expected Daily | 0.06% | 0.04% |
Expected Monthly | 0.83% | 0.63% |
Expected Yearly | 0.83% | 0.63% |
Kelly Criterion | 1.3% | 8.53% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.95% | -2.75% |
Expected Shortfall (cVaR) | -3.95% | -2.75% |
Max Consecutive Wins | 1 | 3 |
Max Consecutive Losses | 3 | 3 |
Gain/Pain Ratio | 0.1 | 0.1 |
Gain/Pain (1M) | - | - |
Payoff Ratio | 1.66 | 1.43 |
Profit Factor | 1.1 | 1.1 |
Common Sense Ratio | 1.36 | 1.16 |
CPC Index | 0.7 | 0.72 |
Tail Ratio | 1.24 | 1.06 |
Outlier Win Ratio | 2.17 | 3.58 |
Outlier Loss Ratio | 1.87 | 2.3 |
MTD | 0.83% | 0.63% |
3M | 0.83% | 0.63% |
6M | 0.83% | 0.63% |
YTD | 0.83% | 0.63% |
1Y | 0.83% | 0.63% |
3Y (ann.) | 18.33% | 13.48% |
5Y (ann.) | 18.33% | 13.48% |
10Y (ann.) | 18.33% | 13.48% |
All-time (ann.) | 18.33% | 13.48% |
Best Day | 6.5% | 3.89% |
Worst Day | -3.2% | -2.46% |
Best Month | 0.83% | 0.63% |
Worst Month | 0.83% | 0.63% |
Best Year | 0.83% | 0.63% |
Worst Year | 0.83% | 0.63% |
Avg. Drawdown | -2.26% | -1.8% |
Avg. Drawdown Days | 3 | 4 |
Recovery Factor | 0.19 | 0.24 |
Ulcer Index | 0.02 | 0.01 |
Serenity Index | -236.72 | -301.83 |
Avg. Up Month | 0.83% | 0.63% |
Avg. Down Month | - | - |
Win Days | 38.46% | 46.15% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 1.31 | - |
Alpha | 0.03 | - |
Correlation | 90.87% | - |
Treynor Ratio | -534.74% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 0.63 | 0.83 | 1.33 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-14 | 2022-02-24 | -4.28 | 10 |
2022-02-25 | 2022-02-25 | -3.20 | 0 |
2022-02-10 | 2022-02-11 | -0.82 | 1 |
2022-02-08 | 2022-02-09 | -0.73 | 1 |