Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 62.0% | 64.0% |
Cumulative Return | 0.59% | 0.6% |
CAGR﹪ | 0.65% | 0.67% |
Sharpe | -56.0 | -105.18 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -46.29 | -86.95 |
Sortino | -15.29 | -15.7 |
Smart Sortino | -12.64 | -12.98 |
Sortino/√2 | -10.81 | -11.1 |
Smart Sortino/√2 | -8.94 | -9.18 |
Omega | 0.0 | 0.0 |
Max Drawdown | -2.43% | -1.59% |
Longest DD Days | 313 | 320 |
Volatility (ann.) | 3.71% | 1.98% |
R^2 | 0.13 | 0.13 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.27 | 0.42 |
Skew | -0.32 | 2.25 |
Kurtosis | 19.22 | 23.34 |
Expected Daily | 0.0% | 0.0% |
Expected Monthly | 0.05% | 0.05% |
Expected Yearly | 0.29% | 0.3% |
Kelly Criterion | 1.84% | 5.96% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.38% | -0.2% |
Expected Shortfall (cVaR) | -0.38% | -0.2% |
Max Consecutive Wins | 10 | 22 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | 0.1 | 0.19 |
Gain/Pain (1M) | 0.39 | 0.37 |
Payoff Ratio | 1.48 | 2.51 |
Profit Factor | 1.1 | 1.19 |
Common Sense Ratio | 2.14 | 1.19 |
CPC Index | 0.68 | 0.97 |
Tail Ratio | 1.95 | 1.0 |
Outlier Win Ratio | 12.79 | 20.46 |
Outlier Loss Ratio | 7.43 | 16.72 |
MTD | -0.01% | -0.01% |
3M | 0.21% | 0.22% |
6M | 1.39% | 1.37% |
YTD | 1.39% | 1.37% |
1Y | 0.59% | 0.6% |
3Y (ann.) | 0.65% | 0.67% |
5Y (ann.) | 0.65% | 0.67% |
10Y (ann.) | 0.65% | 0.67% |
All-time (ann.) | 0.65% | 0.67% |
Best Day | 1.3% | 0.88% |
Worst Day | -1.33% | -0.56% |
Best Month | 1.06% | 0.98% |
Worst Month | -0.95% | -0.92% |
Best Year | 1.39% | 1.37% |
Worst Year | -0.79% | -0.75% |
Avg. Drawdown | -1.24% | -1.01% |
Avg. Drawdown Days | 108 | 163 |
Recovery Factor | 0.24 | 0.38 |
Ulcer Index | 0.02 | 0.01 |
Serenity Index | -41.72 | -70.69 |
Avg. Up Month | 0.46% | 0.45% |
Avg. Down Month | -0.24% | -0.23% |
Win Days | 41.38% | 32.77% |
Win Month | 41.67% | 41.67% |
Win Quarter | 60.0% | 60.0% |
Win Year | 50.0% | 50.0% |
Beta | 0.68 | - |
Alpha | 0.0 | - |
Correlation | 36.4% | - |
Treynor Ratio | -1023.12% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | -0.75 | -0.79 | 1.05 | - |
2023 | 1.37 | 1.39 | 1.02 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-08-25 | 2023-07-04 | -2.43 | 313 |
2022-08-18 | 2022-08-23 | -0.85 | 5 |
2022-08-12 | 2022-08-17 | -0.42 | 5 |