Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -6.81% | 19.82% |
CAGR﹪ | -2.54% | 6.82% |
Sharpe | -2.67 | -3.36 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.55 | -3.21 |
Sortino | -3.29 | -4.04 |
Smart Sortino | -3.14 | -3.86 |
Sortino/√2 | -2.33 | -2.86 |
Smart Sortino/√2 | -2.22 | -2.73 |
Omega | 0.56 | 0.56 |
Max Drawdown | -45.6% | -24.49% |
Longest DD Days | 663 | 708 |
Volatility (ann.) | 25.79% | 18.04% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.06 | 0.28 |
Skew | -1.61 | -0.14 |
Kurtosis | 27.02 | 2.15 |
Expected Daily | -0.01% | 0.03% |
Expected Monthly | -0.21% | 0.55% |
Expected Yearly | -1.75% | 4.62% |
Kelly Criterion | -6.42% | 7.7% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.67% | -1.83% |
Expected Shortfall (cVaR) | -2.67% | -1.83% |
Max Consecutive Wins | 7 | 8 |
Max Consecutive Losses | 9 | 6 |
Gain/Pain Ratio | 0.01 | 0.09 |
Gain/Pain (1M) | 0.02 | 0.36 |
Payoff Ratio | 0.88 | 1.14 |
Profit Factor | 1.01 | 1.09 |
Common Sense Ratio | 1.16 | 1.18 |
CPC Index | 0.44 | 0.63 |
Tail Ratio | 1.16 | 1.09 |
Outlier Win Ratio | 4.01 | 4.38 |
Outlier Loss Ratio | 4.01 | 4.65 |
MTD | 1.09% | -3.41% |
3M | -1.89% | 4.63% |
6M | 6.75% | 21.19% |
YTD | -0.23% | 6.78% |
1Y | -8.28% | 24.62% |
3Y (ann.) | -2.54% | 6.82% |
5Y (ann.) | -2.54% | 6.82% |
10Y (ann.) | -2.54% | 6.82% |
All-time (ann.) | -2.54% | 6.82% |
Best Day | 10.0% | 5.55% |
Worst Day | -17.2% | -4.55% |
Best Month | 25.46% | 9.22% |
Worst Month | -14.75% | -9.21% |
Best Year | 17.42% | 26.29% |
Worst Year | -19.66% | -18.32% |
Avg. Drawdown | -5.51% | -1.87% |
Avg. Drawdown Days | 50 | 27 |
Recovery Factor | -0.15 | 0.81 |
Ulcer Index | 0.26 | 0.11 |
Serenity Index | -0.14 | -0.41 |
Avg. Up Month | 3.24% | 4.69% |
Avg. Down Month | -6.98% | -3.35% |
Win Days | 50.31% | 50.78% |
Win Month | 51.52% | 54.55% |
Win Quarter | 33.33% | 50.0% |
Win Year | 25.0% | 75.0% |
Beta | 0.12 | - |
Alpha | -0.0 | - |
Correlation | 8.23% | - |
Treynor Ratio | -907.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 8.78 | -0.98 | -0.11 | - |
2022 | -18.32 | 17.42 | -0.95 | + |
2023 | 26.29 | -19.66 | -0.75 | - |
2024 | 6.78 | -0.23 | -0.03 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-07-01 | 2024-04-24 | -45.60 | 663 |
2021-10-27 | 2022-05-04 | -28.37 | 189 |
2022-05-25 | 2022-06-08 | -12.73 | 14 |
2022-05-06 | 2022-05-12 | -3.41 | 6 |
2022-06-29 | 2022-06-30 | -2.60 | 1 |
2021-08-04 | 2021-08-31 | -2.32 | 27 |
2022-05-13 | 2022-05-16 | -1.74 | 3 |
2022-06-09 | 2022-06-10 | -1.63 | 1 |
2021-09-16 | 2021-10-07 | -1.54 | 21 |
2022-06-14 | 2022-06-16 | -0.85 | 2 |