Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 96.0% | 98.0% |
Cumulative Return | 0.92% | -2.17% |
CAGR﹪ | 5.21% | -11.44% |
Sharpe | -6.04 | -7.46 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.21 | -6.44 |
Sortino | -6.65 | -7.67 |
Smart Sortino | -5.73 | -6.62 |
Sortino/√2 | -4.7 | -5.43 |
Smart Sortino/√2 | -4.06 | -4.68 |
Omega | 0.31 | 0.31 |
Max Drawdown | -13.48% | -11.86% |
Longest DD Days | 51 | 53 |
Volatility (ann.) | 32.87% | 29.05% |
R^2 | 0.49 | 0.49 |
Information Ratio | 0.05 | 0.05 |
Calmar | 0.39 | -0.96 |
Skew | -0.12 | 0.15 |
Kurtosis | 5.96 | 0.93 |
Expected Daily | 0.02% | -0.05% |
Expected Monthly | 0.31% | -0.73% |
Expected Yearly | 0.46% | -1.09% |
Kelly Criterion | 13.21% | 0.89% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.37% | -3.04% |
Expected Shortfall (cVaR) | -3.37% | -3.04% |
Max Consecutive Wins | 4 | 5 |
Max Consecutive Losses | 8 | 5 |
Gain/Pain Ratio | 0.07 | -0.05 |
Gain/Pain (1M) | 0.22 | -0.19 |
Payoff Ratio | 1.1 | 1.28 |
Profit Factor | 1.07 | 0.95 |
Common Sense Ratio | 0.99 | 0.82 |
CPC Index | 0.64 | 0.54 |
Tail Ratio | 0.93 | 0.86 |
Outlier Win Ratio | 4.36 | 3.64 |
Outlier Loss Ratio | 3.46 | 3.99 |
MTD | 3.84% | 0.91% |
3M | 0.92% | -2.17% |
6M | 0.92% | -2.17% |
YTD | -5.27% | -7.02% |
1Y | 0.92% | -2.17% |
3Y (ann.) | 5.21% | -11.44% |
5Y (ann.) | 5.21% | -11.44% |
10Y (ann.) | 5.21% | -11.44% |
All-time (ann.) | 5.21% | -11.44% |
Best Day | 7.34% | 4.54% |
Worst Day | -7.49% | -4.42% |
Best Month | 6.54% | 5.22% |
Worst Month | -8.77% | -7.86% |
Best Year | 6.54% | 5.22% |
Worst Year | -5.27% | -7.02% |
Avg. Drawdown | -4.53% | -6.1% |
Avg. Drawdown Days | 18 | 27 |
Recovery Factor | 0.07 | -0.18 |
Ulcer Index | 0.09 | 0.07 |
Serenity Index | -11.17 | -13.87 |
Avg. Up Month | 5.19% | 3.06% |
Avg. Down Month | -8.77% | -7.86% |
Win Days | 54.55% | 44.44% |
Win Month | 66.67% | 66.67% |
Win Quarter | 50.0% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.79 | - |
Alpha | 0.17 | - |
Correlation | 69.84% | - |
Treynor Ratio | -884.55% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 5.22 | 6.54 | 1.25 | + |
2022 | -7.02 | -5.27 | 0.75 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-02-25 | -13.48 | 51 |
2021-12-28 | 2021-12-29 | -0.08 | 1 |
2021-12-23 | 2021-12-24 | -0.04 | 1 |