Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -6.55% | 25.59% |
CAGR﹪ | -2.48% | 8.8% |
Sharpe | 0.04 | 1.87 |
Prob. Sharpe Ratio | 52.73% | 100.0% |
Smart Sharpe | 0.04 | 1.8 |
Sortino | 0.05 | 89.57 |
Smart Sortino | 0.05 | 86.37 |
Sortino/√2 | 0.04 | 63.33 |
Smart Sortino/√2 | 0.04 | 61.07 |
Omega | 1.01 | 1.01 |
Max Drawdown | -52.41% | -1.25% |
Longest DD Days | 469 | 209 |
Volatility (ann.) | 27.05% | 4.69% |
R^2 | 0.06 | 0.06 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.05 | 7.01 |
Skew | -1.5 | 25.5 |
Kurtosis | 16.34 | 654.19 |
Expected Daily | -0.01% | 0.03% |
Expected Monthly | -0.2% | 0.67% |
Expected Yearly | -1.68% | 5.86% |
Kelly Criterion | 10.04% | 79.87% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.8% | -0.45% |
Expected Shortfall (cVaR) | -2.8% | -0.45% |
Max Consecutive Wins | 10 | 397 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.01 | 16.8 |
Gain/Pain (1M) | 0.03 | 16.8 |
Payoff Ratio | 1.07 | 4.31 |
Profit Factor | 1.01 | 17.8 |
Common Sense Ratio | 0.88 | 61.85 |
CPC Index | 0.58 | 64.12 |
Tail Ratio | 0.87 | 3.47 |
Outlier Win Ratio | 1.76 | 40.77 |
Outlier Loss Ratio | 2.24 | 209.99 |
MTD | 1.79% | 0.07% |
3M | 4.19% | 1.96% |
6M | 7.55% | 1.7% |
YTD | 4.17% | 0.82% |
1Y | -32.17% | 11.66% |
3Y (ann.) | -2.48% | 8.8% |
5Y (ann.) | -2.48% | 8.8% |
10Y (ann.) | -2.48% | 8.8% |
All-time (ann.) | -2.48% | 8.8% |
Best Day | 11.38% | 7.61% |
Worst Day | -15.34% | -0.02% |
Best Month | 15.01% | 7.61% |
Worst Month | -29.84% | -0.52% |
Best Year | 26.46% | 11.92% |
Worst Year | -38.05% | 0.82% |
Avg. Drawdown | -3.25% | -0.68% |
Avg. Drawdown Days | 25 | 138 |
Recovery Factor | -0.13 | 20.39 |
Ulcer Index | 0.26 | 0.0 |
Serenity Index | -0.01 | 24.11 |
Avg. Up Month | 4.77% | 0.94% |
Avg. Down Month | -3.73% | -0.21% |
Win Days | 53.52% | 83.66% |
Win Month | 61.76% | 85.29% |
Win Quarter | 66.67% | 91.67% |
Win Year | 75.0% | 100.0% |
Beta | 1.46 | - |
Alpha | -0.12 | - |
Correlation | 25.41% | - |
Treynor Ratio | -4.48% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 2.68 | 26.46 | 9.86 | + |
2021 | 8.39 | 14.51 | 1.73 | + |
2022 | 11.92 | -38.05 | -3.19 | - |
2023 | 0.82 | 4.17 | 5.11 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2023-02-02 | -52.41 | 469 |
2020-08-14 | 2020-11-16 | -11.45 | 94 |
2021-01-15 | 2021-03-15 | -7.04 | 59 |
2021-03-16 | 2021-05-07 | -4.55 | 52 |
2021-07-08 | 2021-08-17 | -3.97 | 40 |
2020-06-08 | 2020-07-06 | -3.65 | 28 |
2020-07-07 | 2020-07-17 | -2.80 | 10 |
2020-12-18 | 2020-12-29 | -2.50 | 11 |
2021-08-18 | 2021-09-01 | -2.33 | 14 |
2020-06-04 | 2020-06-05 | -2.13 | 1 |