Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 96.0% | 89.0% |
Cumulative Return | -4.79% | -100.0% |
CAGR﹪ | -1.24% | -100.0% |
Sharpe | 0.07 | -0.48 |
Prob. Sharpe Ratio | 54.66% | 9.56% |
Smart Sharpe | 0.06 | -0.4 |
Sortino | 0.1 | -0.49 |
Smart Sortino | 0.08 | -0.4 |
Sortino/√2 | 0.07 | -0.35 |
Smart Sortino/√2 | 0.06 | -0.29 |
Omega | 1.02 | 1.02 |
Max Drawdown | -25.15% | -100.0% |
Longest DD Days | 1008 | 488 |
Volatility (ann.) | 26.65% | 60.59% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.03 | 0.03 |
Calmar | -0.05 | -1.0 |
Skew | 0.53 | -24.73 |
Kurtosis | 18.89 | 647.47 |
Expected Daily | -0.01% | -100.0% |
Expected Monthly | -0.13% | -100.0% |
Expected Yearly | -0.98% | -100.0% |
Kelly Criterion | -4.67% | -29.26% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.75% | -6.39% |
Expected Shortfall (cVaR) | -2.75% | -6.39% |
Max Consecutive Wins | 9 | 5 |
Max Consecutive Losses | 6 | 10 |
Gain/Pain Ratio | 0.02 | -0.29 |
Gain/Pain (1M) | 0.09 | -0.62 |
Payoff Ratio | 0.9 | 0.64 |
Profit Factor | 1.02 | 0.71 |
Common Sense Ratio | 0.98 | 0.82 |
CPC Index | 0.46 | 0.23 |
Tail Ratio | 0.97 | 1.16 |
Outlier Win Ratio | 3.37 | 5.99 |
Outlier Loss Ratio | 3.63 | 4.05 |
MTD | 0.0% | 0.0% |
3M | 12.78% | 0.0% |
6M | 3.89% | -100.0% |
YTD | 8.09% | -100.0% |
1Y | -8.69% | -100.0% |
3Y (ann.) | 1.43% | -100.0% |
5Y (ann.) | -1.24% | -100.0% |
10Y (ann.) | -1.24% | -100.0% |
All-time (ann.) | -1.24% | -100.0% |
Best Day | 14.07% | 8.19% |
Worst Day | -10.56% | -100.0% |
Best Month | 15.83% | 10.42% |
Worst Month | -13.05% | -100.0% |
Best Year | 8.09% | 11.14% |
Worst Year | -10.84% | -100.0% |
Avg. Drawdown | -14.13% | -17.1% |
Avg. Drawdown Days | 355 | 175 |
Recovery Factor | -0.19 | -1.0 |
Ulcer Index | 0.11 | 0.34 |
Serenity Index | -0.04 | -0.18 |
Avg. Up Month | 2.46% | 2.56% |
Avg. Down Month | -3.7% | -11.3% |
Win Days | 50.29% | 49.61% |
Win Month | 51.35% | 58.82% |
Win Quarter | 46.15% | 50.0% |
Win Year | 40.0% | 60.0% |
Beta | 0.06 | - |
Alpha | 0.04 | - |
Correlation | 13.81% | - |
Treynor Ratio | -78.89% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | -5.65 | -3.71 | 0.66 | + |
2021 | 0.36 | -0.91 | -2.57 | - |
2022 | 11.14 | -10.84 | -0.97 | - |
2023 | 8.87 | 3.55 | 0.40 | - |
2024 | -100.00 | 8.09 | -0.08 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-09-08 | 2024-10-01 | -25.15 | 389 |
2020-11-03 | 2023-08-08 | -24.05 | 1008 |
2023-08-14 | 2023-09-05 | -5.70 | 22 |
2023-09-06 | 2023-09-07 | -1.60 | 1 |