Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 92.0% | 99.0% |
Cumulative Return | -11.9% | 0.4% |
CAGR﹪ | -20.19% | 0.72% |
Sharpe | -8.58 | -3.08 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -8.43 | -3.03 |
Sortino | -7.8 | -3.56 |
Smart Sortino | -7.67 | -3.5 |
Sortino/√2 | -5.51 | -2.52 |
Smart Sortino/√2 | -5.42 | -2.48 |
Omega | 0.15 | 0.15 |
Max Drawdown | -12.85% | -9.96% |
Longest DD Days | 171 | 59 |
Volatility (ann.) | 12.64% | 21.39% |
R^2 | 0.04 | 0.04 |
Information Ratio | -0.12 | -0.12 |
Calmar | -1.57 | 0.07 |
Skew | -2.77 | -0.94 |
Kurtosis | 14.47 | 2.61 |
Expected Daily | -0.16% | 0.01% |
Expected Monthly | -1.79% | 0.06% |
Expected Yearly | -6.14% | 0.2% |
Kelly Criterion | -29.59% | 8.43% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.47% | -2.2% |
Expected Shortfall (cVaR) | -1.47% | -2.2% |
Max Consecutive Wins | 7 | 7 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.48 | 0.03 |
Gain/Pain (1M) | -0.83 | 0.09 |
Payoff Ratio | 0.73 | 1.05 |
Profit Factor | 0.52 | 1.03 |
Common Sense Ratio | 0.29 | 1.09 |
CPC Index | 0.17 | 0.57 |
Tail Ratio | 0.56 | 1.06 |
Outlier Win Ratio | 5.15 | 1.86 |
Outlier Loss Ratio | 5.36 | 3.29 |
MTD | -7.37% | -2.77% |
3M | -8.84% | -6.4% |
6M | -11.7% | 0.24% |
YTD | -9.99% | -8.17% |
1Y | -11.9% | 0.4% |
3Y (ann.) | -20.19% | 0.72% |
5Y (ann.) | -20.19% | 0.72% |
10Y (ann.) | -20.19% | 0.72% |
All-time (ann.) | -20.19% | 0.72% |
Best Day | 1.59% | 2.48% |
Worst Day | -4.81% | -5.41% |
Best Month | 1.51% | 5.74% |
Worst Month | -7.37% | -5.56% |
Best Year | -2.12% | 9.34% |
Worst Year | -9.99% | -8.17% |
Avg. Drawdown | -6.86% | -2.49% |
Avg. Drawdown Days | 95 | 16 |
Recovery Factor | -0.93 | 0.04 |
Ulcer Index | 0.04 | 0.03 |
Serenity Index | -3.03 | -6.28 |
Avg. Up Month | 0.85% | 4.55% |
Avg. Down Month | -3.7% | -3.16% |
Win Days | 45.21% | 53.16% |
Win Month | 42.86% | 42.86% |
Win Quarter | 0.0% | 33.33% |
Win Year | 0.0% | 50.0% |
Beta | 0.12 | - |
Alpha | -0.4 | - |
Correlation | 20.88% | - |
Treynor Ratio | -906.31% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 9.34 | -2.12 | -0.23 | - |
2022 | -8.17 | -9.99 | 1.22 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-07 | 2022-02-25 | -12.85 | 171 |
2021-08-06 | 2021-08-25 | -0.88 | 19 |