Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -7.95% | 13.85% |
CAGR﹪ | -16.83% | 33.48% |
Sharpe | -0.7 | 1.6 |
Prob. Sharpe Ratio | 31.47% | 89.37% |
Smart Sharpe | -0.61 | 1.38 |
Sortino | -0.91 | 3.37 |
Smart Sortino | -0.79 | 2.91 |
Sortino/√2 | -0.64 | 2.38 |
Smart Sortino/√2 | -0.56 | 2.06 |
Omega | 0.89 | 0.89 |
Max Drawdown | -11.5% | -5.89% |
Longest DD Days | 58 | 59 |
Volatility (ann.) | 22.26% | 18.84% |
R^2 | 0.17 | 0.17 |
Information Ratio | -0.13 | -0.13 |
Calmar | -1.46 | 5.68 |
Skew | -0.91 | 2.94 |
Kurtosis | 4.21 | 18.24 |
Expected Daily | -0.07% | 0.11% |
Expected Monthly | -1.37% | 2.19% |
Expected Yearly | -4.06% | 6.7% |
Kelly Criterion | -1.16% | 14.75% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.37% | -1.83% |
Expected Shortfall (cVaR) | -2.37% | -1.83% |
Max Consecutive Wins | 8 | 3 |
Max Consecutive Losses | 7 | 5 |
Gain/Pain Ratio | -0.11 | 0.38 |
Gain/Pain (1M) | -0.5 | 5.2 |
Payoff Ratio | 1.01 | 1.76 |
Profit Factor | 0.89 | 1.38 |
Common Sense Ratio | 0.82 | 2.22 |
CPC Index | 0.44 | 1.11 |
Tail Ratio | 0.92 | 1.61 |
Outlier Win Ratio | 3.11 | 3.23 |
Outlier Loss Ratio | 2.28 | 4.23 |
MTD | -6.91% | 7.35% |
3M | -6.76% | 10.68% |
6M | -7.95% | 13.85% |
YTD | -6.95% | 11.14% |
1Y | -7.95% | 13.85% |
3Y (ann.) | -16.83% | 33.48% |
5Y (ann.) | -16.83% | 33.48% |
10Y (ann.) | -16.83% | 33.48% |
All-time (ann.) | -16.83% | 33.48% |
Best Day | 2.97% | 8.19% |
Worst Day | -6.92% | -2.64% |
Best Month | 4.86% | 7.35% |
Worst Month | -6.91% | -2.45% |
Best Year | -1.07% | 11.14% |
Worst Year | -6.95% | 2.44% |
Avg. Drawdown | -6.74% | -2.21% |
Avg. Drawdown Days | 39 | 13 |
Recovery Factor | -0.69 | 2.35 |
Ulcer Index | 0.05 | 0.03 |
Serenity Index | -0.32 | 1.42 |
Avg. Up Month | 4.86% | 0.83% |
Avg. Down Month | -5.42% | -0.23% |
Win Days | 49.12% | 45.61% |
Win Month | 33.33% | 66.67% |
Win Quarter | 33.33% | 66.67% |
Win Year | 0.0% | 100.0% |
Beta | 0.49 | - |
Alpha | -0.3 | - |
Correlation | 41.35% | - |
Treynor Ratio | -16.26% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.44 | -1.07 | -0.44 | - |
2022 | 11.14 | -6.95 | -0.62 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-02-25 | -11.50 | 50 |
2021-11-23 | 2022-01-04 | -7.63 | 42 |
2021-09-15 | 2021-11-12 | -6.58 | 58 |
2021-11-15 | 2021-11-22 | -1.26 | 7 |