Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -10.95% | 83.98% |
CAGR﹪ | -2.42% | 13.74% |
Sharpe | -1.32 | -1.41 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.01 | -1.08 |
Sortino | -1.93 | -1.78 |
Smart Sortino | -1.48 | -1.37 |
Sortino/√2 | -1.37 | -1.26 |
Smart Sortino/√2 | -1.05 | -0.97 |
Omega | 0.68 | 0.68 |
Max Drawdown | -58.5% | -27.28% |
Longest DD Days | 853 | 705 |
Volatility (ann.) | 47.98% | 27.22% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.03 | -0.03 |
Calmar | -0.04 | 0.5 |
Skew | 3.32 | -1.4 |
Kurtosis | 111.0 | 14.3 |
Expected Daily | -0.02% | 0.11% |
Expected Monthly | -0.21% | 1.09% |
Expected Yearly | -1.91% | 10.69% |
Kelly Criterion | 6.24% | 10.16% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.95% | -2.7% |
Expected Shortfall (cVaR) | -4.95% | -2.7% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 7 | 6 |
Gain/Pain Ratio | 0.04 | 0.25 |
Gain/Pain (1M) | 0.1 | 0.79 |
Payoff Ratio | 1.09 | 0.98 |
Profit Factor | 1.04 | 1.25 |
Common Sense Ratio | 1.01 | 1.37 |
CPC Index | 0.58 | 0.68 |
Tail Ratio | 0.97 | 1.1 |
Outlier Win Ratio | 3.88 | 4.54 |
Outlier Loss Ratio | 4.23 | 4.98 |
MTD | 0.09% | -3.43% |
3M | -4.26% | 4.92% |
6M | 8.74% | 16.83% |
YTD | 0.08% | 6.76% |
1Y | -9.6% | 25.37% |
3Y (ann.) | -3.38% | 8.74% |
5Y (ann.) | -2.42% | 13.74% |
10Y (ann.) | -2.42% | 13.74% |
All-time (ann.) | -2.42% | 13.74% |
Best Day | 44.81% | 7.35% |
Worst Day | -33.23% | -13.91% |
Best Month | 25.34% | 12.82% |
Worst Month | -16.2% | -12.35% |
Best Year | 15.9% | 30.26% |
Worst Year | -22.28% | -18.56% |
Avg. Drawdown | -12.82% | -2.41% |
Avg. Drawdown Days | 204 | 27 |
Recovery Factor | -0.19 | 3.08 |
Ulcer Index | 0.19 | 0.09 |
Serenity Index | -0.52 | -0.2 |
Avg. Up Month | 3.85% | 4.19% |
Avg. Down Month | -6.52% | -4.33% |
Win Days | 51.15% | 55.58% |
Win Month | 50.91% | 63.64% |
Win Quarter | 40.0% | 65.0% |
Win Year | 66.67% | 83.33% |
Beta | 0.19 | - |
Alpha | 0.0 | - |
Correlation | 10.75% | - |
Treynor Ratio | -585.6% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 9.02 | 7.75 | 0.86 | - |
2020 | 17.99 | -9.83 | -0.55 | - |
2021 | 30.26 | 1.66 | 0.05 | - |
2022 | -18.56 | 15.90 | -0.86 | + |
2023 | 26.29 | -22.28 | -0.85 | - |
2024 | 6.76 | 0.08 | 0.01 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-07-01 | 2024-04-23 | -58.50 | 662 |
2020-01-14 | 2022-05-16 | -26.42 | 853 |
2022-05-25 | 2022-06-10 | -11.17 | 16 |
2019-08-13 | 2019-11-07 | -4.66 | 86 |
2019-11-27 | 2019-12-10 | -0.88 | 13 |
2022-06-17 | 2022-06-21 | -0.37 | 4 |
2019-12-18 | 2019-12-19 | -0.35 | 1 |
2022-06-15 | 2022-06-16 | -0.21 | 1 |