Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -4.35% | 5.75% |
CAGR﹪ | -9.0% | 12.6% |
Sharpe | -0.14 | 65.59 |
Prob. Sharpe Ratio | 46.27% | 100.0% |
Smart Sharpe | -0.08 | 38.99 |
Sortino | -0.21 | - |
Smart Sortino | -0.12 | - |
Sortino/√2 | -0.15 | - |
Smart Sortino/√2 | -0.09 | - |
Omega | 0.97 | 0.97 |
Max Drawdown | -16.35% | - |
Longest DD Days | - | - |
Volatility (ann.) | 31.71% | 0.18% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.03 | -0.03 |
Calmar | -0.55 | - |
Skew | 1.48 | -0.33 |
Kurtosis | 30.52 | 1.22 |
Expected Daily | -0.04% | 0.05% |
Expected Monthly | -0.74% | 0.94% |
Expected Yearly | -2.2% | 2.83% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.3% | -0.03% |
Expected Shortfall (cVaR) | -3.3% | -0.03% |
Max Consecutive Wins | 5 | 120 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | -0.03 | - |
Gain/Pain (1M) | -0.24 | - |
Payoff Ratio | - | - |
Profit Factor | 0.97 | - |
Common Sense Ratio | 0.93 | - |
CPC Index | - | - |
Tail Ratio | 0.96 | 2.05 |
Outlier Win Ratio | 1.41 | 33.75 |
Outlier Loss Ratio | 2.1 | - |
MTD | 1.69% | 1.17% |
3M | 0.34% | 3.2% |
6M | -4.35% | 5.75% |
YTD | 3.47% | 2.17% |
1Y | -4.35% | 5.75% |
3Y (ann.) | -9.0% | 12.6% |
5Y (ann.) | -9.0% | 12.6% |
10Y (ann.) | -9.0% | 12.6% |
All-time (ann.) | -9.0% | 12.6% |
Best Day | 14.35% | 0.06% |
Worst Day | -11.55% | 0.0% |
Best Month | 1.75% | 1.17% |
Worst Month | -7.13% | 0.57% |
Best Year | 3.47% | 3.5% |
Worst Year | -7.55% | 2.17% |
Avg. Drawdown | -16.35% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.27 | - |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | -0.12 | - |
Avg. Up Month | 1.45% | 0.99% |
Avg. Down Month | - | - |
Win Days | 45.0% | 100.0% |
Win Month | 50.0% | 100.0% |
Win Quarter | 33.33% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | 10.59 | - |
Alpha | -1.28 | - |
Correlation | 5.93% | - |
Treynor Ratio | -0.41% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.50 | -7.55 | -2.16 | - |
2022 | 2.17 | 3.47 | 1.60 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-07 | 2022-02-25 | -16.35 | 171 |