Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 93.0% | 93.0% |
Cumulative Return | 9.0% | 7.58% |
CAGR﹪ | 473.69% | 340.03% |
Sharpe | -2.32 | -2.36 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.24 | -2.27 |
Sortino | -3.27 | -3.95 |
Smart Sortino | -3.15 | -3.8 |
Sortino/√2 | -2.31 | -2.79 |
Smart Sortino/√2 | -2.23 | -2.69 |
Omega | 0.67 | 0.67 |
Max Drawdown | -1.74% | -1.89% |
Longest DD Days | 3 | 3 |
Volatility (ann.) | 21.98% | 30.8% |
R^2 | 0.7 | 0.7 |
Information Ratio | 0.08 | 0.08 |
Calmar | 271.67 | 179.54 |
Skew | 0.84 | 2.04 |
Kurtosis | 1.36 | 5.72 |
Expected Daily | 0.62% | 0.52% |
Expected Monthly | 9.0% | 7.58% |
Expected Yearly | 9.0% | 7.58% |
Kelly Criterion | 51.07% | 36.94% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.65% | -2.65% |
Expected Shortfall (cVaR) | -1.65% | -2.65% |
Max Consecutive Wins | 6 | 3 |
Max Consecutive Losses | 2 | 2 |
Gain/Pain Ratio | 2.36 | 1.58 |
Gain/Pain (1M) | - | - |
Payoff Ratio | 1.69 | 2.73 |
Profit Factor | 3.36 | 2.58 |
Common Sense Ratio | 8.1 | 6.62 |
CPC Index | 3.94 | 3.8 |
Tail Ratio | 2.41 | 2.56 |
Outlier Win Ratio | 3.77 | 3.05 |
Outlier Loss Ratio | 1.62 | 1.89 |
MTD | 9.0% | 7.58% |
3M | 9.0% | 7.58% |
6M | 9.0% | 7.58% |
YTD | 9.0% | 7.58% |
1Y | 9.0% | 7.58% |
3Y (ann.) | 473.69% | 340.03% |
5Y (ann.) | 473.69% | 340.03% |
10Y (ann.) | 473.69% | 340.03% |
All-time (ann.) | 473.69% | 340.03% |
Best Day | 3.98% | 6.24% |
Worst Day | -1.24% | -1.89% |
Best Month | 9.0% | 7.58% |
Worst Month | 9.0% | 7.58% |
Best Year | 9.0% | 7.58% |
Worst Year | 9.0% | 7.58% |
Avg. Drawdown | -1.24% | -1.12% |
Avg. Drawdown Days | 2 | 2 |
Recovery Factor | 5.16 | 4.0 |
Ulcer Index | 0.01 | 0.01 |
Serenity Index | -1033.95 | -1104.22 |
Avg. Up Month | 9.0% | 7.58% |
Avg. Down Month | - | - |
Win Days | 69.23% | 53.85% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | 0.6 | - |
Alpha | 0.77 | - |
Correlation | 83.49% | - |
Treynor Ratio | -1159.9% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 7.58 | 9.00 | 1.19 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-15 | 2022-02-18 | -1.74 | 3 |
2022-02-10 | 2022-02-11 | -1.24 | 1 |
2022-02-08 | 2022-02-09 | -0.72 | 1 |