Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -1.9% | -34.09% |
CAGR﹪ | -3.38% | -52.57% |
Sharpe | -5.3 | -4.42 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.89 | -2.41 |
Sortino | -6.96 | -4.76 |
Smart Sortino | -3.8 | -2.6 |
Sortino/√2 | -4.92 | -3.37 |
Smart Sortino/√2 | -2.68 | -1.84 |
Omega | 0.27 | 0.27 |
Max Drawdown | -24.29% | -51.26% |
Longest DD Days | 94 | 127 |
Volatility (ann.) | 38.71% | 59.31% |
R^2 | 0.48 | 0.48 |
Information Ratio | 0.08 | 0.08 |
Calmar | -0.14 | -1.03 |
Skew | 3.53 | -4.01 |
Kurtosis | 45.59 | 48.96 |
Expected Daily | -0.01% | -0.29% |
Expected Monthly | -0.27% | -5.78% |
Expected Yearly | -0.96% | -18.81% |
Kelly Criterion | 3.89% | -20.04% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.0% | -6.36% |
Expected Shortfall (cVaR) | -4.0% | -6.36% |
Max Consecutive Wins | 8 | 6 |
Max Consecutive Losses | 5 | 4 |
Gain/Pain Ratio | 0.03 | -0.23 |
Gain/Pain (1M) | 0.19 | -0.77 |
Payoff Ratio | 1.07 | 0.7 |
Profit Factor | 1.03 | 0.77 |
Common Sense Ratio | 0.92 | 0.52 |
CPC Index | 0.55 | 0.27 |
Tail Ratio | 0.89 | 0.69 |
Outlier Win Ratio | 2.97 | 2.59 |
Outlier Loss Ratio | 5.28 | 3.44 |
MTD | 2.74% | -30.02% |
3M | -7.95% | -36.5% |
6M | -3.41% | -35.02% |
YTD | -4.47% | -34.42% |
1Y | -1.9% | -34.09% |
3Y (ann.) | -3.38% | -52.57% |
5Y (ann.) | -3.38% | -52.57% |
10Y (ann.) | -3.38% | -52.57% |
All-time (ann.) | -3.38% | -52.57% |
Best Day | 21.23% | 20.04% |
Worst Day | -13.17% | -33.28% |
Best Month | 4.99% | 5.02% |
Worst Month | -7.02% | -30.02% |
Best Year | 2.69% | 0.51% |
Worst Year | -4.47% | -34.42% |
Avg. Drawdown | -9.73% | -6.14% |
Avg. Drawdown Days | 48 | 18 |
Recovery Factor | -0.08 | -0.67 |
Ulcer Index | 0.07 | 0.12 |
Serenity Index | -20.79 | -10.97 |
Avg. Up Month | 3.32% | 1.89% |
Avg. Down Month | -3.52% | -3.98% |
Win Days | 50.35% | 50.7% |
Win Month | 57.14% | 42.86% |
Win Quarter | 33.33% | 33.33% |
Win Year | 50.0% | 50.0% |
Beta | 0.45 | - |
Alpha | 0.28 | - |
Correlation | 69.62% | - |
Treynor Ratio | -1544.84% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.51 | 2.69 | 5.25 | + |
2022 | -34.42 | -4.47 | 0.13 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-02-25 | -24.29 | 94 |
2021-08-30 | 2021-11-01 | -6.39 | 63 |
2021-11-05 | 2021-11-22 | -4.52 | 17 |
2021-08-11 | 2021-08-27 | -3.73 | 16 |