Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 7.62% | 9.62% |
CAGR﹪ | 1.93% | 2.42% |
Sharpe | -12.62 | -7.17 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -11.98 | -6.81 |
Sortino | -10.3 | -7.15 |
Smart Sortino | -9.78 | -6.79 |
Sortino/√2 | -7.28 | -5.06 |
Smart Sortino/√2 | -6.91 | -4.8 |
Omega | 0.09 | 0.09 |
Max Drawdown | -31.18% | -52.0% |
Longest DD Days | 479 | 324 |
Volatility (ann.) | 16.29% | 28.17% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.06 | 0.05 |
Skew | -2.94 | -5.82 |
Kurtosis | 41.0 | 147.13 |
Expected Daily | 0.01% | 0.01% |
Expected Monthly | 0.16% | 0.2% |
Expected Yearly | 1.48% | 1.85% |
Kelly Criterion | -13.26% | -1.01% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.68% | -2.89% |
Expected Shortfall (cVaR) | -1.68% | -2.89% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 6 | 8 |
Gain/Pain Ratio | 0.04 | 0.06 |
Gain/Pain (1M) | 0.23 | 0.33 |
Payoff Ratio | 0.81 | 0.8 |
Profit Factor | 1.04 | 1.06 |
Common Sense Ratio | 1.31 | 1.09 |
CPC Index | 0.42 | 0.47 |
Tail Ratio | 1.25 | 1.03 |
Outlier Win Ratio | 4.47 | 3.15 |
Outlier Loss Ratio | 4.83 | 3.13 |
MTD | -22.06% | -30.02% |
3M | -25.9% | -37.47% |
6M | -26.1% | -36.47% |
YTD | -25.33% | -34.77% |
1Y | -25.02% | -27.03% |
3Y (ann.) | -0.69% | -0.31% |
5Y (ann.) | 1.93% | 2.42% |
10Y (ann.) | 1.93% | 2.42% |
All-time (ann.) | 1.93% | 2.42% |
Best Day | 6.75% | 20.04% |
Worst Day | -13.35% | -33.28% |
Best Month | 10.13% | 15.5% |
Worst Month | -22.06% | -30.02% |
Best Year | 27.38% | 28.55% |
Worst Year | -25.33% | -34.77% |
Avg. Drawdown | -3.21% | -3.55% |
Avg. Drawdown Days | 45 | 25 |
Recovery Factor | 0.24 | 0.18 |
Ulcer Index | 0.06 | 0.08 |
Serenity Index | -11.84 | -9.19 |
Avg. Up Month | 2.28% | 1.73% |
Avg. Down Month | -8.93% | -13.92% |
Win Days | 49.28% | 54.97% |
Win Month | 53.19% | 68.09% |
Win Quarter | 43.75% | 68.75% |
Win Year | 60.0% | 80.0% |
Beta | 0.0 | - |
Alpha | 0.03 | - |
Correlation | 0.6% | - |
Treynor Ratio | -200962.52% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2018 | 5.13 | 11.56 | 2.25 | + |
2019 | 28.55 | 4.43 | 0.16 | - |
2020 | 7.98 | 27.38 | 3.43 | + |
2021 | 15.15 | -2.88 | -0.19 | - |
2022 | -34.77 | -25.33 | 0.73 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2022-02-25 | -31.18 | 479 |
2020-03-13 | 2020-08-21 | -14.94 | 161 |
2018-09-11 | 2019-05-02 | -7.07 | 233 |
2019-09-04 | 2020-02-25 | -6.63 | 174 |
2020-09-30 | 2020-11-02 | -3.98 | 33 |
2018-05-04 | 2018-06-15 | -3.68 | 42 |
2019-06-06 | 2019-07-31 | -3.40 | 55 |
2020-03-02 | 2020-03-05 | -2.49 | 3 |
2020-08-27 | 2020-09-02 | -2.40 | 6 |
2018-06-20 | 2018-07-19 | -2.06 | 29 |