Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -1.74% | -37.61% |
CAGR﹪ | -3.81% | -64.78% |
Sharpe | -6.44 | -4.37 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.8 | -2.58 |
Sortino | -7.49 | -4.73 |
Smart Sortino | -4.42 | -2.79 |
Sortino/√2 | -5.3 | -3.34 |
Smart Sortino/√2 | -3.12 | -1.97 |
Omega | 0.23 | 0.23 |
Max Drawdown | -14.07% | -51.26% |
Longest DD Days | 164 | 127 |
Volatility (ann.) | 32.25% | 65.55% |
R^2 | 0.49 | 0.49 |
Information Ratio | 0.1 | 0.1 |
Calmar | -0.27 | -1.26 |
Skew | 1.44 | -3.61 |
Kurtosis | 29.7 | 40.05 |
Expected Daily | -0.02% | -0.41% |
Expected Monthly | -0.29% | -7.56% |
Expected Yearly | -0.87% | -21.01% |
Kelly Criterion | 7.33% | -13.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.34% | -7.1% |
Expected Shortfall (cVaR) | -3.34% | -7.1% |
Max Consecutive Wins | 5 | 6 |
Max Consecutive Losses | 5 | 4 |
Gain/Pain Ratio | 0.01 | -0.29 |
Gain/Pain (1M) | 0.1 | -0.92 |
Payoff Ratio | 1.39 | 0.85 |
Profit Factor | 1.01 | 0.71 |
Common Sense Ratio | 0.98 | 0.54 |
CPC Index | 0.65 | 0.29 |
Tail Ratio | 0.97 | 0.76 |
Outlier Win Ratio | 2.99 | 2.14 |
Outlier Loss Ratio | 7.28 | 3.42 |
MTD | 1.69% | -30.02% |
3M | 0.34% | -36.5% |
6M | -1.74% | -37.61% |
YTD | 3.47% | -34.42% |
1Y | -1.74% | -37.61% |
3Y (ann.) | -3.81% | -64.78% |
5Y (ann.) | -3.81% | -64.78% |
10Y (ann.) | -3.81% | -64.78% |
All-time (ann.) | -3.81% | -64.78% |
Best Day | 14.35% | 20.04% |
Worst Day | -11.55% | -33.28% |
Best Month | 1.75% | 1.62% |
Worst Month | -4.6% | -30.02% |
Best Year | 3.47% | -4.86% |
Worst Year | -5.04% | -34.42% |
Avg. Drawdown | -14.07% | -9.44% |
Avg. Drawdown Days | 164 | 25 |
Recovery Factor | -0.12 | -0.73 |
Ulcer Index | 0.05 | 0.13 |
Serenity Index | -38.3 | -10.09 |
Avg. Up Month | - | - |
Avg. Down Month | -0.03% | -6.25% |
Win Days | 46.09% | 47.83% |
Win Month | 50.0% | 33.33% |
Win Quarter | 33.33% | 33.33% |
Win Year | 50.0% | 0.0% |
Beta | 0.34 | - |
Alpha | 0.28 | - |
Correlation | 69.96% | - |
Treynor Ratio | -2038.91% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -4.86 | -5.04 | 1.04 | - |
2022 | -34.42 | 3.47 | -0.10 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-14 | 2022-02-25 | -14.07 | 164 |