Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 98.0% | 99.0% |
Cumulative Return | -14.48% | -1.79% |
CAGR﹪ | -28.67% | -3.83% |
Sharpe | -4.24 | -3.84 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.42 | -3.09 |
Sortino | -4.91 | -4.47 |
Smart Sortino | -3.96 | -3.6 |
Sortino/√2 | -3.47 | -3.16 |
Smart Sortino/√2 | -2.8 | -2.55 |
Omega | 0.5 | 0.5 |
Max Drawdown | -15.38% | -10.35% |
Longest DD Days | 165 | 51 |
Volatility (ann.) | 26.02% | 18.96% |
R^2 | 0.1 | 0.1 |
Information Ratio | -0.09 | -0.09 |
Calmar | -1.86 | -0.37 |
Skew | -0.11 | -0.13 |
Kurtosis | 0.83 | 0.48 |
Expected Daily | -0.18% | -0.02% |
Expected Monthly | -2.57% | -0.3% |
Expected Yearly | -7.52% | -0.9% |
Kelly Criterion | -28.06% | -3.1% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.86% | -1.98% |
Expected Shortfall (cVaR) | -2.86% | -1.98% |
Max Consecutive Wins | 4 | 7 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | -0.23 | -0.03 |
Gain/Pain (1M) | -0.79 | -0.08 |
Payoff Ratio | 0.79 | 0.9 |
Profit Factor | 0.77 | 0.97 |
Common Sense Ratio | 0.7 | 0.89 |
CPC Index | 0.26 | 0.45 |
Tail Ratio | 0.9 | 0.92 |
Outlier Win Ratio | 2.62 | 3.69 |
Outlier Loss Ratio | 2.76 | 3.73 |
MTD | -2.53% | 1.49% |
3M | -11.13% | -6.03% |
6M | -14.48% | -1.79% |
YTD | -8.19% | -8.04% |
1Y | -14.48% | -1.79% |
3Y (ann.) | -28.67% | -3.83% |
5Y (ann.) | -28.67% | -3.83% |
10Y (ann.) | -28.67% | -3.83% |
All-time (ann.) | -28.67% | -3.83% |
Best Day | 4.32% | 3.51% |
Worst Day | -5.02% | -3.14% |
Best Month | 1.83% | 7.01% |
Worst Month | -5.8% | -9.39% |
Best Year | -6.85% | 6.79% |
Worst Year | -8.19% | -8.04% |
Avg. Drawdown | -15.38% | -2.25% |
Avg. Drawdown Days | 165 | 13 |
Recovery Factor | -0.94 | -0.17 |
Ulcer Index | 0.07 | 0.03 |
Serenity Index | -2.21 | -5.39 |
Avg. Up Month | 1.71% | 5.88% |
Avg. Down Month | -5.34% | -4.72% |
Win Days | 43.68% | 51.14% |
Win Month | 33.33% | 50.0% |
Win Quarter | 0.0% | 33.33% |
Win Year | 0.0% | 50.0% |
Beta | 0.44 | - |
Alpha | -0.39 | - |
Correlation | 32.06% | - |
Treynor Ratio | -260.17% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 6.79 | -6.85 | -1.01 | - |
2022 | -8.04 | -8.19 | 1.02 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-13 | 2022-02-25 | -15.38 | 165 |