Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 1.69% | -1.08% |
CAGR﹪ | 0.66% | -0.43% |
Sharpe | -6.18 | -5.84 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.72 | -4.46 |
Sortino | -6.55 | -6.07 |
Smart Sortino | -5.01 | -4.64 |
Sortino/√2 | -4.63 | -4.29 |
Smart Sortino/√2 | -3.54 | -3.28 |
Omega | 0.25 | 0.25 |
Max Drawdown | -51.95% | -53.27% |
Longest DD Days | 890 | 890 |
Volatility (ann.) | 32.81% | 34.72% |
R^2 | 0.73 | 0.73 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.01 | -0.01 |
Skew | -1.3 | -4.8 |
Kurtosis | 39.83 | 97.14 |
Expected Daily | 0.0% | -0.0% |
Expected Monthly | 0.05% | -0.04% |
Expected Yearly | 0.42% | -0.27% |
Kelly Criterion | 1.19% | -1.85% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.38% | -3.57% |
Expected Shortfall (cVaR) | -3.38% | -3.57% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 9 | 6 |
Gain/Pain Ratio | 0.04 | 0.05 |
Gain/Pain (1M) | 0.21 | 0.18 |
Payoff Ratio | 0.84 | 0.8 |
Profit Factor | 1.04 | 1.05 |
Common Sense Ratio | 1.0 | 1.0 |
CPC Index | 0.48 | 0.46 |
Tail Ratio | 0.96 | 0.96 |
Outlier Win Ratio | 3.97 | 4.09 |
Outlier Loss Ratio | 4.42 | 4.69 |
MTD | 1.75% | 2.27% |
3M | 4.22% | 7.53% |
6M | 5.64% | 9.32% |
YTD | 4.33% | 7.61% |
1Y | 41.31% | 47.45% |
3Y (ann.) | 0.66% | -0.43% |
5Y (ann.) | 0.66% | -0.43% |
10Y (ann.) | 0.66% | -0.43% |
All-time (ann.) | 0.66% | -0.43% |
Best Day | 20.38% | 20.14% |
Worst Day | -21.92% | -33.2% |
Best Month | 13.61% | 14.82% |
Worst Month | -18.68% | -29.79% |
Best Year | 57.86% | 51.86% |
Worst Year | -37.05% | -37.8% |
Avg. Drawdown | -9.69% | -8.42% |
Avg. Drawdown Days | 153 | 130 |
Recovery Factor | 0.03 | -0.02 |
Ulcer Index | 0.29 | 0.32 |
Serenity Index | -0.99 | -0.9 |
Avg. Up Month | 4.86% | 4.98% |
Avg. Down Month | -7.1% | -8.86% |
Win Days | 54.85% | 54.65% |
Win Month | 61.29% | 64.52% |
Win Quarter | 63.64% | 63.64% |
Win Year | 50.0% | 50.0% |
Beta | 0.81 | - |
Alpha | 0.01 | - |
Correlation | 85.27% | - |
Treynor Ratio | -866.52% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -2.68 | -1.91 | 0.71 | + |
2022 | -37.80 | -37.05 | 0.98 | + |
2023 | 51.86 | 57.86 | 1.12 | + |
2024 | 7.61 | 4.33 | 0.57 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2024-03-29 | -51.95 | 890 |
2021-09-16 | 2021-09-27 | -3.36 | 11 |
2021-10-06 | 2021-10-08 | -1.00 | 2 |
2021-09-28 | 2021-10-05 | -0.92 | 7 |
2021-10-15 | 2021-10-19 | -0.64 | 4 |
2021-10-12 | 2021-10-14 | -0.27 | 2 |