Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -9.69% | 11.04% |
CAGR﹪ | -7.37% | 8.18% |
Sharpe | 0.0 | 36.39 |
Prob. Sharpe Ratio | 50.12% | 100.0% |
Smart Sharpe | 0.0 | 32.16 |
Sortino | 0.01 | - |
Smart Sortino | 0.0 | - |
Sortino/√2 | 0.0 | - |
Smart Sortino/√2 | 0.0 | - |
Omega | 1.0 | 1.0 |
Max Drawdown | -45.88% | - |
Longest DD Days | - | - |
Volatility (ann.) | 57.8% | 0.47% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.16 | - |
Skew | -0.57 | 2.08 |
Kurtosis | 5.54 | 7.14 |
Expected Daily | -0.07% | 0.07% |
Expected Monthly | -0.64% | 0.66% |
Expected Yearly | -4.97% | 5.38% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.99% | -0.02% |
Expected Shortfall (cVaR) | -5.99% | -0.02% |
Max Consecutive Wins | 6 | 153 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | 0.0 | - |
Gain/Pain (1M) | 0.0 | - |
Payoff Ratio | - | - |
Profit Factor | 1.0 | - |
Common Sense Ratio | 0.94 | - |
CPC Index | - | - |
Tail Ratio | 0.94 | 2.87 |
Outlier Win Ratio | 1.77 | 63.4 |
Outlier Loss Ratio | 2.13 | - |
MTD | 12.19% | 0.65% |
3M | 29.81% | 2.03% |
6M | 33.63% | 3.98% |
YTD | 29.92% | 3.28% |
1Y | 33.69% | 7.99% |
3Y (ann.) | -7.37% | 8.18% |
5Y (ann.) | -7.37% | 8.18% |
10Y (ann.) | -7.37% | 8.18% |
All-time (ann.) | -7.37% | 8.18% |
Best Day | 15.03% | 0.22% |
Worst Day | -17.74% | 0.0% |
Best Month | 17.42% | 1.11% |
Worst Month | -30.16% | 0.43% |
Best Year | 29.92% | 7.52% |
Worst Year | -30.49% | 3.28% |
Avg. Drawdown | -23.93% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.21 | - |
Ulcer Index | 0.33 | 0.0 |
Serenity Index | -0.02 | - |
Avg. Up Month | 7.48% | 0.61% |
Avg. Down Month | - | - |
Win Days | 49.33% | 100.0% |
Win Month | 50.0% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | 1.66 | - |
Alpha | -0.28 | - |
Correlation | 1.35% | - |
Treynor Ratio | -5.85% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 7.52 | -30.49 | -4.06 | - |
2023 | 3.28 | 29.92 | 9.13 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-07 | 2023-05-26 | -45.88 | 473 |
2022-01-26 | 2022-01-28 | -1.97 | 2 |