Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | -5.94% | 51.48% |
CAGR﹪ | -1.78% | 12.92% |
Sharpe | -10.79 | -5.91 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -10.34 | -5.67 |
Sortino | -9.34 | -6.11 |
Smart Sortino | -8.96 | -5.86 |
Sortino/√2 | -6.61 | -4.32 |
Smart Sortino/√2 | -6.33 | -4.14 |
Omega | 0.13 | 0.13 |
Max Drawdown | -24.05% | -51.26% |
Longest DD Days | 1008 | 889 |
Volatility (ann.) | 19.42% | 31.46% |
R^2 | 0.07 | 0.07 |
Information Ratio | -0.04 | -0.04 |
Calmar | -0.07 | 0.25 |
Skew | -2.23 | -6.67 |
Kurtosis | 19.56 | 151.79 |
Expected Daily | -0.01% | 0.07% |
Expected Monthly | -0.2% | 1.35% |
Expected Yearly | -1.22% | 8.66% |
Kelly Criterion | 3.83% | 22.27% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.01% | -3.17% |
Expected Shortfall (cVaR) | -2.01% | -3.17% |
Max Consecutive Wins | 9 | 9 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.01 | 0.23 |
Gain/Pain (1M) | -0.03 | 1.18 |
Payoff Ratio | 1.04 | 1.06 |
Profit Factor | 0.99 | 1.23 |
Common Sense Ratio | 1.02 | 1.25 |
CPC Index | 0.53 | 0.78 |
Tail Ratio | 1.03 | 1.02 |
Outlier Win Ratio | 4.0 | 3.57 |
Outlier Loss Ratio | 4.17 | 3.38 |
MTD | -0.75% | 1.87% |
3M | 2.31% | 7.77% |
6M | -9.76% | 10.97% |
YTD | 4.38% | 7.71% |
1Y | 13.29% | 45.84% |
3Y (ann.) | -1.45% | 5.06% |
5Y (ann.) | -1.78% | 12.92% |
10Y (ann.) | -1.78% | 12.92% |
All-time (ann.) | -1.78% | 12.92% |
Best Day | 5.39% | 20.04% |
Worst Day | -10.56% | -33.28% |
Best Month | 12.37% | 15.51% |
Worst Month | -13.05% | -30.02% |
Best Year | 4.38% | 47.19% |
Worst Year | -10.84% | -34.42% |
Avg. Drawdown | -12.44% | -3.06% |
Avg. Drawdown Days | 308 | 36 |
Recovery Factor | -0.25 | 1.0 |
Ulcer Index | 0.11 | 0.16 |
Serenity Index | -4.43 | -2.55 |
Avg. Up Month | 3.43% | 5.16% |
Avg. Down Month | -4.72% | -10.57% |
Win Days | 50.95% | 60.0% |
Win Month | 54.84% | 67.74% |
Win Quarter | 45.45% | 81.82% |
Win Year | 40.0% | 80.0% |
Beta | -0.16 | - |
Alpha | 0.03 | - |
Correlation | -26.29% | - |
Treynor Ratio | 4348.71% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 19.64 | -1.50 | -0.08 | - |
2021 | 21.79 | -0.91 | -0.04 | - |
2022 | -34.42 | -10.84 | 0.31 | + |
2023 | 47.19 | 3.55 | 0.08 | - |
2024 | 7.71 | 4.38 | 0.57 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2023-08-08 | -24.05 | 1008 |
2023-09-08 | 2024-03-28 | -18.38 | 202 |
2023-08-14 | 2023-09-05 | -5.70 | 22 |
2023-09-06 | 2023-09-07 | -1.60 | 1 |