Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -9.68% | 5.75% |
CAGR﹪ | -19.43% | 12.6% |
Sharpe | -0.86 | 65.59 |
Prob. Sharpe Ratio | 27.09% | 100.0% |
Smart Sharpe | -0.75 | 56.75 |
Sortino | -1.11 | - |
Smart Sortino | -0.96 | - |
Sortino/√2 | -0.79 | - |
Smart Sortino/√2 | -0.68 | - |
Omega | 0.86 | 0.86 |
Max Drawdown | -11.5% | - |
Longest DD Days | - | - |
Volatility (ann.) | 21.8% | 0.18% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.09 | -0.09 |
Calmar | -1.69 | - |
Skew | -0.9 | -0.33 |
Kurtosis | 4.41 | 1.22 |
Expected Daily | -0.08% | 0.05% |
Expected Monthly | -1.68% | 0.94% |
Expected Yearly | -4.96% | 2.83% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.33% | -0.03% |
Expected Shortfall (cVaR) | -2.33% | -0.03% |
Max Consecutive Wins | 8 | 120 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | -0.14 | - |
Gain/Pain (1M) | -0.56 | - |
Payoff Ratio | - | - |
Profit Factor | 0.86 | - |
Common Sense Ratio | 0.79 | - |
CPC Index | - | - |
Tail Ratio | 0.92 | 2.05 |
Outlier Win Ratio | 1.54 | 32.09 |
Outlier Loss Ratio | 1.45 | - |
MTD | -6.91% | 1.17% |
3M | -6.76% | 3.2% |
6M | -9.68% | 5.75% |
YTD | -6.95% | 2.17% |
1Y | -9.68% | 5.75% |
3Y (ann.) | -19.43% | 12.6% |
5Y (ann.) | -19.43% | 12.6% |
10Y (ann.) | -19.43% | 12.6% |
All-time (ann.) | -19.43% | 12.6% |
Best Day | 2.97% | 0.06% |
Worst Day | -6.92% | 0.0% |
Best Month | 4.86% | 1.17% |
Worst Month | -7.2% | 0.57% |
Best Year | -2.93% | 3.5% |
Worst Year | -6.95% | 2.17% |
Avg. Drawdown | -10.2% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.84 | - |
Ulcer Index | 0.05 | 0.0 |
Serenity Index | -0.29 | - |
Avg. Up Month | 3.42% | 0.96% |
Avg. Down Month | - | - |
Win Days | 47.5% | 100.0% |
Win Month | 33.33% | 100.0% |
Win Quarter | 33.33% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | -3.03 | - |
Alpha | 0.17 | - |
Correlation | -2.47% | - |
Treynor Ratio | 3.19% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.50 | -2.93 | -0.84 | - |
2022 | 2.17 | -6.95 | -3.20 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-02-25 | -11.50 | 50 |
2021-09-07 | 2022-01-05 | -8.90 | 120 |