Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -6.75% | 6.55% |
CAGR﹪ | -2.51% | 2.33% |
Sharpe | -7.78 | -5.95 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.06 | -5.41 |
Sortino | -7.55 | -6.2 |
Smart Sortino | -6.86 | -5.63 |
Sortino/√2 | -5.34 | -4.38 |
Smart Sortino/√2 | -4.85 | -3.98 |
Omega | 0.2 | 0.2 |
Max Drawdown | -54.81% | -53.53% |
Longest DD Days | 890 | 889 |
Volatility (ann.) | 26.71% | 33.64% |
R^2 | 0.17 | 0.17 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.05 | 0.04 |
Skew | -2.03 | -4.89 |
Kurtosis | 22.91 | 103.47 |
Expected Daily | -0.01% | 0.01% |
Expected Monthly | -0.21% | 0.19% |
Expected Yearly | -1.73% | 1.6% |
Kelly Criterion | -2.01% | -6.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.76% | -3.45% |
Expected Shortfall (cVaR) | -2.76% | -3.45% |
Max Consecutive Wins | 10 | 9 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | 0.01 | 0.07 |
Gain/Pain (1M) | 0.03 | 0.28 |
Payoff Ratio | 0.74 | 0.7 |
Profit Factor | 1.01 | 1.07 |
Common Sense Ratio | 0.84 | 1.04 |
CPC Index | 0.42 | 0.42 |
Tail Ratio | 0.83 | 0.98 |
Outlier Win Ratio | 3.99 | 3.83 |
Outlier Loss Ratio | 3.85 | 4.18 |
MTD | 2.97% | 1.87% |
3M | 10.74% | 7.77% |
6M | 7.31% | 10.97% |
YTD | 11.27% | 7.71% |
1Y | 44.23% | 45.84% |
3Y (ann.) | -2.51% | 2.33% |
5Y (ann.) | -2.51% | 2.33% |
10Y (ann.) | -2.51% | 2.33% |
All-time (ann.) | -2.51% | 2.33% |
Best Day | 10.89% | 20.04% |
Worst Day | -16.81% | -33.28% |
Best Month | 15.49% | 15.56% |
Worst Month | -26.79% | -30.02% |
Best Year | 42.49% | 53.84% |
Worst Year | -41.49% | -37.26% |
Avg. Drawdown | -7.62% | -6.18% |
Avg. Drawdown Days | 109 | 88 |
Recovery Factor | -0.12 | 0.12 |
Ulcer Index | 0.32 | 0.3 |
Serenity Index | -0.71 | -0.92 |
Avg. Up Month | 4.86% | 5.1% |
Avg. Down Month | -7.85% | -7.85% |
Win Days | 56.75% | 56.15% |
Win Month | 58.82% | 64.71% |
Win Quarter | 58.33% | 66.67% |
Win Year | 75.0% | 75.0% |
Beta | 0.33 | - |
Alpha | -0.02 | - |
Correlation | 41.01% | - |
Treynor Ratio | -2170.38% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.49 | 0.53 | 0.21 | - |
2022 | -37.26 | -41.49 | 1.11 | - |
2023 | 53.84 | 42.49 | 0.79 | - |
2024 | 7.71 | 11.27 | 1.46 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-20 | 2024-03-28 | -54.81 | 890 |
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 |
2021-06-29 | 2021-06-30 | -0.81 | 1 |
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 |