Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 88.0% | 90.0% |
Cumulative Return | -15.19% | -14.16% |
CAGR% | -22.33% | -20.88% |
Sharpe | -3.54 | -3.64 |
Sortino | -3.99 | -3.84 |
Max Drawdown | -16.6% | -15.51% |
Longest DD Days | 196 | 196 |
Volatility (ann.) | 12.93% | 11.67% |
R^2 | 0.18 | 0.18 |
Calmar | -1.35 | -1.35 |
Skew | -1.34 | -3.25 |
Kurtosis | 5.22 | 17.14 |
Expected Daily % | -0.18% | -0.17% |
Expected Monthly % | -2.33% | -2.16% |
Expected Yearly % | -7.91% | -7.35% |
Kelly Criterion | -30.04% | -24.24% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.52% | -1.38% |
Expected Shortfall (cVaR) | -2.57% | -2.57% |
Payoff Ratio | 1.05 | 1.01 |
Profit Factor | 0.51 | 0.59 |
Common Sense Ratio | 0.3 | 0.38 |
CPC Index | 0.18 | 0.22 |
Tail Ratio | 0.59 | 0.65 |
Outlier Win Ratio | 2.93 | 4.48 |
Outlier Loss Ratio | 5.92 | 7.01 |
MTD | -7.09% | -6.48% |
3M | -8.87% | -9.82% |
6M | -15.58% | -14.56% |
YTD | -14.06% | -12.84% |
1Y | -15.19% | -14.16% |
3Y (ann.) | -22.41% | -20.95% |
5Y (ann.) | -22.41% | -20.95% |
10Y (ann.) | -22.41% | -20.95% |
All-time (ann.) | -22.41% | -20.95% |
Best Day | 1.68% | 1.75% |
Worst Day | -3.62% | -4.09% |
Best Month | 0.28% | 0.57% |
Worst Month | -7.09% | -6.48% |
Best Year | -1.31% | -1.51% |
Worst Year | -14.06% | -12.84% |
Avg. Drawdown | -3.84% | -5.79% |
Avg. Drawdown Days | 45 | 75 |
Recovery Factor | -0.92 | -0.91 |
Ulcer Index | inf | inf |
Avg. Up Month | 0.28% | 0.57% |
Avg. Down Month | -2.72% | -2.58% |
Win Days % | 33.33% | 37.5% |
Win Month % | 14.29% | 14.29% |
Win Quarter % | 0.0% | 0.0% |
Win Year % | 0.0% | 0.0% |
Beta | 0.46 | - |
Alpha | -0.26 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -1.52 | -1.32 | 0.87 | + |
2022 | -12.88 | -14.11 | 1.10 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-12-07 | 2022-06-21 | -16.65 | 196 |
2021-11-16 | 2021-12-06 | -1.67 | 20 |
2021-10-28 | 2021-11-02 | -0.47 | 5 |
2021-11-09 | 2021-11-10 | -0.28 | 1 |
2021-11-11 | 2021-11-15 | -0.19 | 4 |