Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -16.03% | -21.55% |
CAGR﹪ | -12.47% | -16.89% |
Sharpe | -3.83 | -4.47 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.33 | -3.88 |
Sortino | -4.44 | -4.84 |
Smart Sortino | -3.86 | -4.21 |
Sortino/√2 | -3.14 | -3.42 |
Smart Sortino/√2 | -2.73 | -2.98 |
Omega | 0.49 | 0.49 |
Max Drawdown | -45.88% | -44.49% |
Longest DD Days | 473 | 473 |
Volatility (ann.) | 57.74% | 52.65% |
R^2 | 0.5 | 0.5 |
Information Ratio | 0.02 | 0.02 |
Calmar | -0.27 | -0.38 |
Skew | -0.6 | -1.83 |
Kurtosis | 5.68 | 11.44 |
Expected Daily | -0.12% | -0.16% |
Expected Monthly | -1.16% | -1.61% |
Expected Yearly | -8.37% | -11.43% |
Kelly Criterion | -9.93% | -4.4% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.03% | -5.56% |
Expected Shortfall (cVaR) | -6.03% | -5.56% |
Max Consecutive Wins | 6 | 9 |
Max Consecutive Losses | 7 | 7 |
Gain/Pain Ratio | -0.04 | -0.1 |
Gain/Pain (1M) | -0.12 | -0.24 |
Payoff Ratio | 0.86 | 0.78 |
Profit Factor | 0.96 | 0.9 |
Common Sense Ratio | 0.87 | 0.73 |
CPC Index | 0.41 | 0.38 |
Tail Ratio | 0.9 | 0.81 |
Outlier Win Ratio | 3.42 | 4.86 |
Outlier Loss Ratio | 4.66 | 5.27 |
MTD | 12.19% | 2.41% |
3M | 29.81% | 18.88% |
6M | 33.63% | 20.51% |
YTD | 29.92% | 21.22% |
1Y | 33.69% | 20.85% |
3Y (ann.) | -12.47% | -16.89% |
5Y (ann.) | -12.47% | -16.89% |
10Y (ann.) | -12.47% | -16.89% |
All-time (ann.) | -12.47% | -16.89% |
Best Day | 15.03% | 11.95% |
Worst Day | -17.74% | -19.93% |
Best Month | 17.42% | 14.73% |
Worst Month | -31.77% | -30.35% |
Best Year | 29.92% | 21.22% |
Worst Year | -35.37% | -35.29% |
Avg. Drawdown | -45.88% | -44.49% |
Avg. Drawdown Days | 473 | 473 |
Recovery Factor | -0.35 | -0.48 |
Ulcer Index | 0.33 | 0.32 |
Serenity Index | -1.75 | -1.68 |
Avg. Up Month | 8.66% | 7.24% |
Avg. Down Month | -11.53% | -12.33% |
Win Days | 49.32% | 54.36% |
Win Month | 46.67% | 60.0% |
Win Quarter | 50.0% | 50.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.78 | - |
Alpha | 0.08 | - |
Correlation | 70.86% | - |
Treynor Ratio | -921.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | -35.29 | -35.37 | 1.00 | - |
2023 | 21.22 | 29.92 | 1.41 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-07 | 2023-05-26 | -45.88 | 473 |