Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | 8.05% | 9.65% |
CAGR﹪ | 5.74% | 6.87% |
Sharpe | -16.39 | -19.95 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -14.48 | -17.63 |
Sortino | -11.64 | -12.6 |
Smart Sortino | -10.29 | -11.13 |
Sortino/√2 | -8.23 | -8.91 |
Smart Sortino/√2 | -7.27 | -7.87 |
Omega | 0.06 | 0.06 |
Max Drawdown | -9.21% | -7.28% |
Longest DD Days | 112 | 64 |
Volatility (ann.) | 12.35% | 10.11% |
R^2 | 0.71 | 0.71 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.62 | 0.94 |
Skew | -0.27 | -0.19 |
Kurtosis | 2.58 | 2.59 |
Expected Daily | 0.02% | 0.03% |
Expected Monthly | 0.46% | 0.54% |
Expected Yearly | 2.61% | 3.12% |
Kelly Criterion | 2.5% | 4.65% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.25% | -1.02% |
Expected Shortfall (cVaR) | -1.25% | -1.02% |
Max Consecutive Wins | 6 | 7 |
Max Consecutive Losses | 5 | 8 |
Gain/Pain Ratio | 0.09 | 0.13 |
Gain/Pain (1M) | 0.57 | 0.71 |
Payoff Ratio | 0.95 | 0.97 |
Profit Factor | 1.09 | 1.13 |
Common Sense Ratio | 1.05 | 1.1 |
CPC Index | 0.55 | 0.58 |
Tail Ratio | 0.96 | 0.98 |
Outlier Win Ratio | 2.85 | 3.45 |
Outlier Loss Ratio | 2.99 | 3.95 |
MTD | -3.26% | -1.81% |
3M | -5.69% | -4.14% |
6M | -5.76% | -3.65% |
YTD | -7.92% | -5.93% |
1Y | 0.36% | 2.39% |
3Y (ann.) | 5.74% | 6.87% |
5Y (ann.) | 5.74% | 6.87% |
10Y (ann.) | 5.74% | 6.87% |
All-time (ann.) | 5.74% | 6.87% |
Best Day | 3.56% | 2.9% |
Worst Day | -3.72% | -2.47% |
Best Month | 4.88% | 5.18% |
Worst Month | -4.82% | -4.2% |
Best Year | 10.36% | 10.12% |
Worst Year | -7.92% | -5.93% |
Avg. Drawdown | -2.06% | -1.87% |
Avg. Drawdown Days | 20 | 18 |
Recovery Factor | 0.87 | 1.33 |
Ulcer Index | 0.02 | 0.02 |
Serenity Index | -54.66 | -53.82 |
Avg. Up Month | 2.19% | 2.17% |
Avg. Down Month | -2.62% | -2.35% |
Win Days | 52.41% | 53.04% |
Win Month | 64.71% | 64.71% |
Win Quarter | 66.67% | 66.67% |
Win Year | 66.67% | 66.67% |
Beta | 1.03 | - |
Alpha | -0.01 | - |
Correlation | 84.46% | - |
Treynor Ratio | -670.35% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 5.86 | 6.32 | 1.08 | + |
2021 | 10.12 | 10.36 | 1.02 | + |
2022 | -5.93 | -7.92 | 1.33 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-12-29 | 2022-02-25 | -9.21 | 58 |
2021-02-12 | 2021-04-15 | -5.90 | 62 |
2021-09-07 | 2021-12-28 | -5.31 | 112 |
2020-10-13 | 2020-11-05 | -4.47 | 23 |
2021-06-11 | 2021-08-30 | -2.66 | 80 |
2021-01-26 | 2021-02-08 | -2.29 | 13 |
2021-05-11 | 2021-05-25 | -2.05 | 14 |
2020-11-19 | 2020-12-07 | -2.01 | 18 |
2020-11-10 | 2020-11-17 | -1.74 | 7 |
2020-12-21 | 2020-12-30 | -1.71 | 9 |