Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -37.78% | -40.93% |
CAGR% | -34.4% | -37.31% |
Sharpe | -1.26 | -0.77 |
Sortino | -1.52 | -0.94 |
Max Drawdown | -47.81% | -51.09% |
Longest DD Days | 295 | 294 |
Volatility (ann.) | 32.03% | 48.51% |
R^2 | 0.09 | 0.09 |
Calmar | -0.72 | -0.73 |
Skew | -2.19 | -3.87 |
Kurtosis | 23.43 | 58.99 |
Expected Daily % | -0.18% | -0.2% |
Expected Monthly % | -3.11% | -3.45% |
Expected Yearly % | -21.12% | -23.14% |
Kelly Criterion | -9.87% | -23.02% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.48% | -5.17% |
Expected Shortfall (cVaR) | -7.05% | -7.05% |
Payoff Ratio | 0.78 | 0.69 |
Profit Factor | 0.24 | 0.18 |
Common Sense Ratio | 0.15 | 0.13 |
CPC Index | 0.1 | 0.06 |
Tail Ratio | 0.65 | 0.74 |
Outlier Win Ratio | 4.58 | 3.33 |
Outlier Loss Ratio | 4.01 | 3.48 |
MTD | -0.13% | -3.63% |
3M | -6.66% | -9.72% |
6M | -32.02% | -38.88% |
YTD | -38.11% | -42.36% |
1Y | -40.7% | -42.49% |
3Y (ann.) | -34.52% | -37.48% |
5Y (ann.) | -34.52% | -37.48% |
10Y (ann.) | -34.52% | -37.48% |
All-time (ann.) | -34.52% | -37.48% |
Best Day | 10.85% | 19.97% |
Worst Day | -16.75% | -33.14% |
Best Month | 10.85% | 9.4% |
Worst Month | -26.69% | -29.87% |
Best Year | 0.53% | 2.49% |
Worst Year | -38.11% | -42.36% |
Avg. Drawdown | -6.76% | -5.88% |
Avg. Drawdown Days | 43 | 34 |
Recovery Factor | -0.79 | -0.8 |
Ulcer Index | inf | inf |
Avg. Up Month | 3.67% | 3.37% |
Avg. Down Month | -7.4% | -8.36% |
Win Days % | 51.94% | 49.81% |
Win Month % | 40.0% | 40.0% |
Win Quarter % | 50.0% | 33.33% |
Win Year % | 50.0% | 50.0% |
Beta | 0.2 | - |
Alpha | -0.33 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.49 | 0.53 | 0.21 | - |
2022 | -42.54 | -38.24 | 0.90 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-20 | 2022-08-11 | -47.95 | 295 |
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 |
2021-06-29 | 2021-06-30 | -0.10 | 1 |
2021-07-09 | 2021-07-12 | -0.08 | 3 |