Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -3.95% | 24.05% |
CAGR﹪ | -1.5% | 8.42% |
Sharpe | -2.13 | -3.24 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.07 | -3.14 |
Sortino | -2.78 | -3.91 |
Smart Sortino | -2.7 | -3.8 |
Sortino/√2 | -1.97 | -2.77 |
Smart Sortino/√2 | -1.91 | -2.68 |
Omega | 0.61 | 0.61 |
Max Drawdown | -42.31% | -24.49% |
Longest DD Days | 636 | 708 |
Volatility (ann.) | 31.02% | 18.24% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.04 | 0.34 |
Skew | -0.75 | -0.14 |
Kurtosis | 38.58 | 2.09 |
Expected Daily | -0.01% | 0.03% |
Expected Monthly | -0.13% | 0.68% |
Expected Yearly | -1.0% | 5.54% |
Kelly Criterion | -5.07% | 9.66% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.2% | -1.85% |
Expected Shortfall (cVaR) | -3.2% | -1.85% |
Max Consecutive Wins | 10 | 8 |
Max Consecutive Losses | 9 | 6 |
Gain/Pain Ratio | 0.02 | 0.1 |
Gain/Pain (1M) | 0.1 | 0.45 |
Payoff Ratio | 0.85 | 1.18 |
Profit Factor | 1.02 | 1.1 |
Common Sense Ratio | 1.18 | 1.17 |
CPC Index | 0.45 | 0.67 |
Tail Ratio | 1.15 | 1.06 |
Outlier Win Ratio | 4.08 | 4.91 |
Outlier Loss Ratio | 3.72 | 4.97 |
MTD | -0.89% | 3.22% |
3M | 1.45% | 10.3% |
6M | 10.35% | 23.89% |
YTD | 0.22% | 10.56% |
1Y | -10.52% | 34.21% |
3Y (ann.) | -1.5% | 8.42% |
5Y (ann.) | -1.5% | 8.42% |
10Y (ann.) | -1.5% | 8.42% |
All-time (ann.) | -1.5% | 8.42% |
Best Day | 18.05% | 5.55% |
Worst Day | -21.48% | -4.55% |
Best Month | 25.89% | 9.22% |
Worst Month | -15.13% | -9.21% |
Best Year | 16.78% | 26.29% |
Worst Year | -16.9% | -18.32% |
Avg. Drawdown | -6.31% | -1.76% |
Avg. Drawdown Days | 51 | 27 |
Recovery Factor | -0.09 | 0.98 |
Ulcer Index | 0.24 | 0.11 |
Serenity Index | -0.2 | -0.39 |
Avg. Up Month | 3.64% | 4.71% |
Avg. Down Month | -7.02% | -3.35% |
Win Days | 51.85% | 51.04% |
Win Month | 46.88% | 56.25% |
Win Quarter | 36.36% | 54.55% |
Win Year | 50.0% | 75.0% |
Beta | 0.17 | - |
Alpha | 0.02 | - |
Correlation | 9.88% | - |
Treynor Ratio | -618.89% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 8.78 | -1.25 | -0.14 | - |
2022 | -18.32 | 16.78 | -0.92 | + |
2023 | 26.29 | -16.90 | -0.64 | - |
2024 | 10.56 | 0.22 | 0.02 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-07-01 | 2024-03-28 | -42.31 | 636 |
2021-10-27 | 2022-05-04 | -34.62 | 189 |
2022-05-25 | 2022-06-08 | -12.96 | 14 |
2022-05-06 | 2022-05-12 | -4.10 | 6 |
2021-08-17 | 2021-08-31 | -2.60 | 14 |
2021-09-16 | 2021-10-07 | -2.41 | 21 |
2022-05-13 | 2022-05-16 | -2.23 | 3 |
2022-05-17 | 2022-05-19 | -2.20 | 2 |
2022-06-09 | 2022-06-10 | -2.06 | 1 |
2022-06-27 | 2022-06-28 | -1.85 | 1 |