Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | -23.72% | 6.67% |
CAGR﹪ | -13.15% | 3.42% |
Sharpe | -2.94 | -2.88 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.59 | -2.53 |
Sortino | -3.56 | -3.45 |
Smart Sortino | -3.13 | -3.04 |
Sortino/√2 | -2.51 | -2.44 |
Smart Sortino/√2 | -2.22 | -2.15 |
Omega | 0.59 | 0.59 |
Max Drawdown | -30.39% | -24.35% |
Longest DD Days | 605 | 604 |
Volatility (ann.) | 28.83% | 21.7% |
R^2 | 0.18 | 0.18 |
Information Ratio | -0.05 | -0.05 |
Calmar | -0.43 | 0.14 |
Skew | -0.37 | -0.78 |
Kurtosis | 2.97 | 5.94 |
Expected Daily | -0.08% | 0.02% |
Expected Monthly | -1.22% | 0.29% |
Expected Yearly | -8.63% | 2.18% |
Kelly Criterion | -5.45% | -2.19% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.05% | -2.22% |
Expected Shortfall (cVaR) | -3.05% | -2.22% |
Max Consecutive Wins | 6 | 6 |
Max Consecutive Losses | 8 | 6 |
Gain/Pain Ratio | -0.09 | 0.06 |
Gain/Pain (1M) | -0.38 | 0.23 |
Payoff Ratio | 0.95 | 0.96 |
Profit Factor | 0.91 | 1.06 |
Common Sense Ratio | 0.78 | 1.06 |
CPC Index | 0.42 | 0.51 |
Tail Ratio | 0.86 | 1.0 |
Outlier Win Ratio | 3.22 | 3.81 |
Outlier Loss Ratio | 3.22 | 4.6 |
MTD | -16.71% | -1.59% |
3M | -16.31% | 7.64% |
6M | -14.8% | 14.17% |
YTD | -8.6% | 18.73% |
1Y | -16.44% | 13.8% |
3Y (ann.) | -13.15% | 3.42% |
5Y (ann.) | -13.15% | 3.42% |
10Y (ann.) | -13.15% | 3.42% |
All-time (ann.) | -13.15% | 3.42% |
Best Day | 6.9% | 5.55% |
Worst Day | -8.01% | -9.04% |
Best Month | 9.21% | 9.22% |
Worst Month | -16.71% | -9.21% |
Best Year | 9.59% | 18.73% |
Worst Year | -23.85% | -18.32% |
Avg. Drawdown | -5.68% | -3.56% |
Avg. Drawdown Days | 95 | 66 |
Recovery Factor | -0.78 | 0.27 |
Ulcer Index | 0.17 | 0.13 |
Serenity Index | -0.51 | -0.45 |
Avg. Up Month | 2.94% | 4.66% |
Avg. Down Month | -5.94% | -4.83% |
Win Days | 48.66% | 49.86% |
Win Month | 52.38% | 57.14% |
Win Quarter | 37.5% | 62.5% |
Win Year | 33.33% | 66.67% |
Beta | 0.56 | - |
Alpha | -0.19 | - |
Correlation | 42.42% | - |
Treynor Ratio | -219.48% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 10.00 | 9.59 | 0.96 | - |
2022 | -18.32 | -23.85 | 1.30 | - |
2023 | 18.73 | -8.60 | -0.46 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-03 | 2023-08-31 | -30.39 | 605 |
2021-11-09 | 2021-12-16 | -3.40 | 37 |
2021-12-17 | 2021-12-27 | -2.92 | 10 |
2021-10-01 | 2021-10-07 | -2.12 | 6 |
2021-10-12 | 2021-10-18 | -0.66 | 6 |
2021-10-29 | 2021-11-01 | -0.21 | 3 |
2021-12-29 | 2021-12-30 | -0.07 | 1 |