Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 86.0% | 86.0% |
Cumulative Return | -15.35% | -15.15% |
CAGR﹪ | -99.88% | -99.87% |
Sharpe | -14.21 | -9.25 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -11.02 | -7.17 |
Sortino | -11.19 | -9.38 |
Smart Sortino | -8.67 | -7.27 |
Sortino/√2 | -7.91 | -6.64 |
Smart Sortino/√2 | -6.13 | -5.14 |
Omega | 0.08 | 0.08 |
Max Drawdown | -17.92% | -20.98% |
Longest DD Days | 8 | 8 |
Volatility (ann.) | 55.46% | 82.64% |
R^2 | 0.37 | 0.37 |
Information Ratio | -0.02 | -0.02 |
Calmar | -5.57 | -4.76 |
Skew | 0.13 | 0.95 |
Kurtosis | -1.11 | 0.97 |
Expected Daily | -2.35% | -2.32% |
Expected Monthly | -15.35% | -15.15% |
Expected Yearly | -15.35% | -15.15% |
Kelly Criterion | -80.57% | -25.5% |
Risk of Ruin | 0.01% | 0.09% |
Daily Value-at-Risk | -8.05% | -10.77% |
Expected Shortfall (cVaR) | -8.05% | -10.77% |
Max Consecutive Wins | 2 | 1 |
Max Consecutive Losses | 4 | 5 |
Gain/Pain Ratio | -0.84 | -0.68 |
Gain/Pain (1M) | -1.0 | -1.0 |
Payoff Ratio | 0.59 | 1.98 |
Profit Factor | 0.16 | 0.32 |
Common Sense Ratio | 0.05 | 0.22 |
CPC Index | 0.03 | 0.11 |
Tail Ratio | 0.32 | 0.68 |
Outlier Win Ratio | 4.6 | 1.3 |
Outlier Loss Ratio | 1.54 | 1.62 |
MTD | -15.35% | -15.15% |
3M | -15.35% | -15.15% |
6M | -15.35% | -15.15% |
YTD | -15.35% | -15.15% |
1Y | -15.35% | -15.15% |
3Y (ann.) | -99.88% | -99.87% |
5Y (ann.) | -99.88% | -99.87% |
10Y (ann.) | -99.88% | -99.87% |
All-time (ann.) | -99.88% | -99.87% |
Best Day | 2.81% | 7.37% |
Worst Day | -7.12% | -7.88% |
Best Month | -15.35% | -15.15% |
Worst Month | -15.35% | -15.15% |
Best Year | -15.35% | -15.15% |
Worst Year | -15.35% | -15.15% |
Avg. Drawdown | -17.92% | -20.98% |
Avg. Drawdown Days | 8 | 8 |
Recovery Factor | -0.86 | -0.72 |
Ulcer Index | 0.15 | 0.14 |
Serenity Index | -7.44 | -11.37 |
Avg. Up Month | - | - |
Avg. Down Month | -15.35% | -15.15% |
Win Days | 33.33% | 16.67% |
Win Month | 0.0% | 0.0% |
Win Quarter | 0.0% | 0.0% |
Win Year | 0.0% | 0.0% |
Beta | 0.41 | - |
Alpha | -3.53 | - |
Correlation | 60.75% | - |
Treynor Ratio | -1754.81% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | -15.15 | -15.35 | 1.01 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-17 | 2022-02-25 | -17.92 | 8 |