Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 79.0% | 100.0% |
Cumulative Return | -99.97% | 166.79% |
CAGR﹪ | -42.84% | 7.14% |
Sharpe | 0.04 | 12.92 |
Prob. Sharpe Ratio | 55.4% | 100.0% |
Smart Sharpe | 0.03 | 10.91 |
Sortino | 0.07 | 121.43 |
Smart Sortino | 0.06 | 102.58 |
Sortino/√2 | 0.05 | 85.86 |
Smart Sortino/√2 | 0.04 | 72.53 |
Omega | 1.01 | 1.01 |
Max Drawdown | -99.97% | -1.25% |
Longest DD Days | 5165 | 209 |
Volatility (ann.) | 119.24% | 0.53% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.0 | -0.0 |
Calmar | -0.43 | 5.69 |
Skew | 6.11 | 5.05 |
Kurtosis | 108.27 | 37.43 |
Expected Daily | -0.22% | 0.03% |
Expected Monthly | -4.55% | 0.58% |
Expected Yearly | -41.19% | 6.76% |
Kelly Criterion | 3.36% | 90.49% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -12.34% | -0.03% |
Expected Shortfall (cVaR) | -12.34% | -0.03% |
Max Consecutive Wins | 8 | 1466 |
Max Consecutive Losses | 12 | 64 |
Gain/Pain Ratio | 0.01 | 35.63 |
Gain/Pain (1M) | 0.04 | 35.63 |
Payoff Ratio | 1.29 | 2.98 |
Profit Factor | 1.01 | 36.63 |
Common Sense Ratio | 0.99 | 671.16 |
CPC Index | 0.59 | 101.35 |
Tail Ratio | 0.98 | 18.32 |
Outlier Win Ratio | 3.0 | 353.45 |
Outlier Loss Ratio | 1.68 | 730.75 |
MTD | -12.5% | 0.65% |
3M | -30.0% | 2.31% |
6M | -68.89% | 5.09% |
YTD | -30.0% | 2.2% |
1Y | -90.91% | 8.06% |
3Y (ann.) | -87.99% | 9.35% |
5Y (ann.) | -63.97% | 7.26% |
10Y (ann.) | -52.99% | 7.15% |
All-time (ann.) | -42.84% | 7.14% |
Best Day | 166.67% | 0.32% |
Worst Day | -40.0% | -0.02% |
Best Month | 179.41% | 7.61% |
Worst Month | -64.29% | -0.54% |
Best Year | 269.78% | 12.91% |
Worst Year | -88.89% | 2.2% |
Avg. Drawdown | -37.56% | -0.55% |
Avg. Drawdown Days | 1728 | 129 |
Recovery Factor | -1.0 | 132.92 |
Ulcer Index | 0.78 | 0.0 |
Serenity Index | -0.08 | 80.27 |
Avg. Up Month | 21.16% | 0.52% |
Avg. Down Month | -13.05% | -0.31% |
Win Days | 45.56% | 92.88% |
Win Month | 35.33% | 92.98% |
Win Quarter | 26.32% | 92.98% |
Win Year | 20.0% | 100.0% |
Beta | -1.55 | - |
Alpha | 0.15 | - |
Correlation | -0.69% | - |
Treynor Ratio | 64.69% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2010 | 8.68 | -5.97 | -0.69 | - |
2011 | 6.10 | -6.75 | -1.11 | - |
2012 | 6.58 | -15.32 | -2.33 | - |
2013 | 6.45 | -30.65 | -4.75 | - |
2014 | 11.36 | -20.29 | -1.79 | - |
2015 | 12.91 | -54.55 | -4.23 | - |
2016 | 5.38 | -46.00 | -8.56 | - |
2017 | 2.52 | 33.33 | 13.21 | + |
2018 | 4.27 | -63.89 | -14.97 | - |
2019 | 3.05 | 6.92 | 2.27 | + |
2020 | 4.91 | 269.78 | 54.92 | + |
2021 | 8.39 | -79.96 | -9.53 | - |
2022 | 11.92 | -88.35 | -7.41 | - |
2023 | 7.42 | -88.89 | -11.98 | - |
2024 | 2.20 | -30.00 | -13.63 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2010-02-04 | 2024-03-27 | -99.97 | 5165 |
2010-01-19 | 2010-02-01 | -8.22 | 13 |
2010-01-06 | 2010-01-13 | -4.48 | 7 |