Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 90.0% |
Cumulative Return | -16.56% | -14.06% |
CAGR﹪ | -15.93% | -13.52% |
Sharpe | -10.11 | -11.61 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.18 | -10.54 |
Sortino | -9.2 | -10.35 |
Smart Sortino | -8.35 | -9.39 |
Sortino/√2 | -6.5 | -7.32 |
Smart Sortino/√2 | -5.9 | -6.64 |
Omega | 0.18 | 0.18 |
Max Drawdown | -22.23% | -21.3% |
Longest DD Days | 353 | 354 |
Volatility (ann.) | 23.73% | 20.26% |
R^2 | 0.36 | 0.36 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.72 | -0.63 |
Skew | -0.25 | 0.66 |
Kurtosis | 2.52 | 17.4 |
Expected Daily | -0.14% | -0.11% |
Expected Monthly | -1.63% | -1.37% |
Expected Yearly | -8.66% | -7.3% |
Kelly Criterion | -10.17% | -17.41% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.58% | -2.2% |
Expected Shortfall (cVaR) | -2.58% | -2.2% |
Max Consecutive Wins | 5 | 4 |
Max Consecutive Losses | 5 | 7 |
Gain/Pain Ratio | -0.22 | -0.25 |
Gain/Pain (1M) | -0.74 | -0.61 |
Payoff Ratio | 1.05 | 0.86 |
Profit Factor | 0.78 | 0.75 |
Common Sense Ratio | 0.64 | 0.48 |
CPC Index | 0.36 | 0.3 |
Tail Ratio | 0.82 | 0.63 |
Outlier Win Ratio | 3.44 | 5.16 |
Outlier Loss Ratio | 3.31 | 4.0 |
MTD | -0.12% | -0.24% |
3M | 1.0% | 3.88% |
6M | -4.48% | -1.42% |
YTD | -17.58% | -15.29% |
1Y | -16.65% | -14.15% |
3Y (ann.) | -15.93% | -13.52% |
5Y (ann.) | -15.93% | -13.52% |
10Y (ann.) | -15.93% | -13.52% |
All-time (ann.) | -15.93% | -13.52% |
Best Day | 4.73% | 8.03% |
Worst Day | -5.56% | -6.94% |
Best Month | 3.44% | 6.66% |
Worst Month | -5.7% | -6.12% |
Best Year | 1.23% | 1.45% |
Worst Year | -17.58% | -15.29% |
Avg. Drawdown | -11.43% | -21.3% |
Avg. Drawdown Days | 184 | 354 |
Recovery Factor | -0.74 | -0.66 |
Ulcer Index | 0.13 | 0.13 |
Serenity Index | -3.6 | -3.14 |
Avg. Up Month | 1.83% | 2.94% |
Avg. Down Month | -2.88% | -2.9% |
Win Days | 43.65% | 45.83% |
Win Month | 27.27% | 27.27% |
Win Quarter | 40.0% | 40.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.7 | - |
Alpha | -0.13 | - |
Correlation | 60.16% | - |
Treynor Ratio | -1017.03% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.45 | 1.23 | 0.85 | - |
2022 | -15.29 | -17.58 | 1.15 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-04 | 2022-12-23 | -22.23 | 353 |
2021-12-08 | 2021-12-22 | -0.62 | 14 |