Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 88.0% | 94.0% |
Cumulative Return | -13.56% | -12.24% |
CAGR﹪ | -41.25% | -37.91% |
Sharpe | -9.65 | -8.08 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.84 | -7.39 |
Sortino | -8.7 | -8.03 |
Smart Sortino | -7.97 | -7.35 |
Sortino/√2 | -6.15 | -5.68 |
Smart Sortino/√2 | -5.63 | -5.2 |
Omega | 0.19 | 0.19 |
Max Drawdown | -18.16% | -19.61% |
Longest DD Days | 87 | 88 |
Volatility (ann.) | 28.8% | 33.32% |
R^2 | 0.33 | 0.33 |
Information Ratio | -0.02 | -0.02 |
Calmar | -2.27 | -1.93 |
Skew | -0.64 | 0.17 |
Kurtosis | 1.07 | 0.73 |
Expected Daily | -0.29% | -0.26% |
Expected Monthly | -2.87% | -2.58% |
Expected Yearly | -7.03% | -6.32% |
Kelly Criterion | -20.27% | -9.51% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.26% | -3.69% |
Expected Shortfall (cVaR) | -3.26% | -3.69% |
Max Consecutive Wins | 3 | 3 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.34 | -0.26 |
Gain/Pain (1M) | -0.91 | -0.69 |
Payoff Ratio | 0.97 | 1.1 |
Profit Factor | 0.66 | 0.74 |
Common Sense Ratio | 0.51 | 0.6 |
CPC Index | 0.26 | 0.35 |
Tail Ratio | 0.78 | 0.81 |
Outlier Win Ratio | 3.69 | 2.7 |
Outlier Loss Ratio | 3.2 | 2.87 |
MTD | 0.0% | -0.63% |
3M | -14.77% | -14.27% |
6M | -13.56% | -12.24% |
YTD | -14.77% | -14.27% |
1Y | -13.56% | -12.24% |
3Y (ann.) | -41.25% | -37.91% |
5Y (ann.) | -41.25% | -37.91% |
10Y (ann.) | -41.25% | -37.91% |
All-time (ann.) | -41.25% | -37.91% |
Best Day | 3.19% | 5.61% |
Worst Day | -5.87% | -5.22% |
Best Month | 1.41% | 2.93% |
Worst Month | -11.88% | -11.33% |
Best Year | 1.41% | 2.36% |
Worst Year | -14.77% | -14.27% |
Avg. Drawdown | -6.33% | -10.21% |
Avg. Drawdown Days | 32 | 45 |
Recovery Factor | -0.75 | -0.62 |
Ulcer Index | 0.11 | 0.11 |
Serenity Index | -5.9 | -7.96 |
Avg. Up Month | 1.41% | 2.36% |
Avg. Down Month | -7.58% | -8.4% |
Win Days | 40.91% | 42.55% |
Win Month | 33.33% | 40.0% |
Win Quarter | 50.0% | 33.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.5 | - |
Alpha | -0.39 | - |
Correlation | 57.57% | - |
Treynor Ratio | -1434.16% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.36 | 1.41 | 0.60 | - |
2022 | -14.27 | -14.77 | 1.04 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-04 | 2022-04-01 | -18.16 | 87 |
2021-12-28 | 2022-01-03 | -0.58 | 6 |
2021-12-24 | 2021-12-27 | -0.24 | 3 |