Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 16.0% | 96.0% |
Cumulative Return | -5.1% | -61.32% |
CAGR﹪ | -1.8% | -28.08% |
Sharpe | -75.03 | -4.94 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -65.09 | -4.29 |
Sortino | -15.53 | -4.72 |
Smart Sortino | -13.47 | -4.1 |
Sortino/√2 | -10.98 | -3.34 |
Smart Sortino/√2 | -9.53 | -2.9 |
Omega | 0.0 | 0.0 |
Max Drawdown | -6.21% | -64.99% |
Longest DD Days | 909 | 922 |
Volatility (ann.) | 2.83% | 51.74% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.05 | 0.05 |
Calmar | -0.29 | -0.43 |
Skew | -4.27 | -18.2 |
Kurtosis | 41.29 | 334.34 |
Expected Daily | -0.02% | -0.28% |
Expected Monthly | -0.28% | -4.88% |
Expected Yearly | -1.3% | -21.14% |
Kelly Criterion | -41.76% | -90.4% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.31% | -5.55% |
Expected Shortfall (cVaR) | -0.31% | -5.55% |
Max Consecutive Wins | 2 | 8 |
Max Consecutive Losses | 2 | 10 |
Gain/Pain Ratio | -0.44 | -0.73 |
Gain/Pain (1M) | -0.81 | -0.88 |
Payoff Ratio | 0.54 | 0.33 |
Profit Factor | 0.56 | 0.27 |
Common Sense Ratio | 0.19 | 0.25 |
CPC Index | 0.15 | 0.05 |
Tail Ratio | 0.33 | 0.93 |
Outlier Win Ratio | 26.42 | 4.46 |
Outlier Loss Ratio | 2.06 | 1.57 |
MTD | 0.0% | 0.64% |
3M | 0.0% | 2.42% |
6M | 0.0% | 6.49% |
YTD | 0.0% | 2.23% |
1Y | 0.0% | 6.81% |
3Y (ann.) | -1.8% | -28.08% |
5Y (ann.) | -1.8% | -28.08% |
10Y (ann.) | -1.8% | -28.08% |
All-time (ann.) | -1.8% | -28.08% |
Best Day | 0.7% | 1.22% |
Worst Day | -1.91% | -59.9% |
Best Month | 0.79% | 1.71% |
Worst Month | -3.41% | -59.81% |
Best Year | 0.0% | 4.48% |
Worst Year | -4.71% | -64.04% |
Avg. Drawdown | -1.61% | -4.1% |
Avg. Drawdown Days | 200 | 61 |
Recovery Factor | -0.82 | -0.94 |
Ulcer Index | 0.04 | 0.4 |
Serenity Index | -3.89 | -0.82 |
Avg. Up Month | 0.39% | 0.51% |
Avg. Down Month | -1.04% | -1.99% |
Win Days | 50.0% | 53.23% |
Win Month | 30.0% | 63.16% |
Win Quarter | 25.0% | 75.0% |
Win Year | 0.0% | 75.0% |
Beta | 0.0 | - |
Alpha | -0.04 | - |
Correlation | 1.45% | - |
Treynor Ratio | -886688.79% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.68 | -0.41 | -0.60 | - |
2022 | -64.04 | -4.71 | 0.07 | + |
2023 | 4.48 | 0.00 | 0.00 | - |
2024 | 2.23 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-30 | 2024-03-27 | -6.21 | 909 |
2021-06-17 | 2021-08-13 | -0.59 | 57 |
2021-08-17 | 2021-08-23 | -0.49 | 6 |
2021-06-02 | 2021-06-15 | -0.39 | 13 |
2021-09-02 | 2021-09-17 | -0.39 | 15 |