Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -2.48% | -2.28% |
CAGR﹪ | -0.89% | -0.81% |
Sharpe | -7.78 | -7.03 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.08 | -6.39 |
Sortino | -7.56 | -7.01 |
Smart Sortino | -6.87 | -6.37 |
Sortino/√2 | -5.34 | -4.95 |
Smart Sortino/√2 | -4.86 | -4.51 |
Omega | 0.2 | 0.2 |
Max Drawdown | -54.81% | -54.01% |
Longest DD Days | 917 | 917 |
Volatility (ann.) | 26.48% | 29.17% |
R^2 | 0.21 | 0.21 |
Information Ratio | -0.0 | -0.0 |
Calmar | -0.02 | -0.02 |
Skew | -2.05 | -5.5 |
Kurtosis | 23.23 | 114.2 |
Expected Daily | -0.0% | -0.0% |
Expected Monthly | -0.07% | -0.07% |
Expected Yearly | -0.63% | -0.57% |
Kelly Criterion | 0.9% | -5.43% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.73% | -3.01% |
Expected Shortfall (cVaR) | -2.73% | -3.01% |
Max Consecutive Wins | 10 | 11 |
Max Consecutive Losses | 5 | 6 |
Gain/Pain Ratio | 0.02 | 0.03 |
Gain/Pain (1M) | 0.08 | 0.12 |
Payoff Ratio | 0.77 | 0.67 |
Profit Factor | 1.02 | 1.03 |
Common Sense Ratio | 0.83 | 0.87 |
CPC Index | 0.45 | 0.4 |
Tail Ratio | 0.82 | 0.84 |
Outlier Win Ratio | 3.65 | 4.11 |
Outlier Loss Ratio | 3.62 | 4.18 |
MTD | 4.99% | 4.66% |
3M | 10.51% | 9.82% |
6M | 9.51% | 8.81% |
YTD | 17.21% | 16.77% |
1Y | 43.37% | 43.16% |
3Y (ann.) | -0.89% | -0.81% |
5Y (ann.) | -0.89% | -0.81% |
10Y (ann.) | -0.89% | -0.81% |
All-time (ann.) | -0.89% | -0.81% |
Best Day | 10.89% | 16.87% |
Worst Day | -16.81% | -29.98% |
Best Month | 15.49% | 16.69% |
Worst Month | -26.79% | -24.71% |
Best Year | 42.49% | 43.25% |
Worst Year | -41.49% | -41.56% |
Avg. Drawdown | -8.48% | -6.9% |
Avg. Drawdown Days | 126 | 101 |
Recovery Factor | -0.05 | -0.04 |
Ulcer Index | 0.31 | 0.31 |
Serenity Index | -0.71 | -0.78 |
Avg. Up Month | 4.9% | 4.86% |
Avg. Down Month | -6.82% | -6.79% |
Win Days | 57.04% | 57.74% |
Win Month | 58.82% | 61.76% |
Win Quarter | 58.33% | 58.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.42 | - |
Alpha | 0.01 | - |
Correlation | 46.02% | - |
Treynor Ratio | -1681.4% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -0.04 | -0.20 | 4.84 | - |
2022 | -41.56 | -41.49 | 1.00 | + |
2023 | 43.25 | 42.49 | 0.98 | - |
2024 | 16.77 | 17.21 | 1.03 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-20 | 2024-04-24 | -54.81 | 917 |
2021-09-08 | 2021-10-19 | -6.25 | 41 |
2021-07-13 | 2021-08-04 | -3.13 | 22 |
2021-08-18 | 2021-08-31 | -2.22 | 13 |
2021-08-11 | 2021-08-16 | -0.52 | 5 |
2021-07-06 | 2021-07-08 | -0.46 | 2 |
2021-08-06 | 2021-08-10 | -0.33 | 4 |
2021-07-09 | 2021-07-12 | -0.08 | 3 |