Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 98.0% |
Cumulative Return | -20.24% | 2.17% |
CAGR﹪ | -76.5% | 14.75% |
Sharpe | -1.24 | 73.68 |
Prob. Sharpe Ratio | 31.4% | 99.97% |
Smart Sharpe | -1.02 | 60.56 |
Sortino | -1.65 | - |
Smart Sortino | -1.35 | - |
Sortino/√2 | -1.17 | - |
Smart Sortino/√2 | -0.96 | - |
Omega | 0.81 | 0.81 |
Max Drawdown | -31.42% | - |
Longest DD Days | - | - |
Volatility (ann.) | 87.26% | 0.19% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.09 | -0.09 |
Calmar | -2.44 | - |
Skew | -0.16 | -2.58 |
Kurtosis | 0.15 | 11.32 |
Expected Daily | -0.58% | 0.06% |
Expected Monthly | -7.26% | 0.72% |
Expected Yearly | -10.69% | 1.08% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -9.47% | -0.04% |
Expected Shortfall (cVaR) | -9.47% | -0.04% |
Max Consecutive Wins | 2 | 38 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | -0.19 | - |
Gain/Pain (1M) | -0.68 | - |
Payoff Ratio | - | - |
Profit Factor | 0.81 | - |
Common Sense Ratio | 0.62 | - |
CPC Index | - | - |
Tail Ratio | 0.76 | 1.31 |
Outlier Win Ratio | 1.1 | 95.97 |
Outlier Loss Ratio | 1.65 | - |
MTD | 6.98% | 1.17% |
3M | -20.24% | 2.17% |
6M | -20.24% | 2.17% |
YTD | -20.24% | 2.17% |
1Y | -20.24% | 2.17% |
3Y (ann.) | -76.5% | 14.75% |
5Y (ann.) | -76.5% | 14.75% |
10Y (ann.) | -76.5% | 14.75% |
All-time (ann.) | -76.5% | 14.75% |
Best Day | 12.16% | 0.06% |
Worst Day | -13.58% | 0.0% |
Best Month | 6.98% | 1.17% |
Worst Month | -25.44% | 0.0% |
Best Year | 0.0% | 2.17% |
Worst Year | -20.24% | 0.0% |
Avg. Drawdown | -15.95% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.64 | - |
Ulcer Index | 0.18 | 0.0 |
Serenity Index | -0.2 | - |
Avg. Up Month | 6.98% | 1.17% |
Avg. Down Month | - | - |
Win Days | 36.84% | 100.0% |
Win Month | 50.0% | 100.0% |
Win Quarter | 0.0% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | 41.28 | - |
Alpha | -6.81 | - |
Correlation | 8.92% | - |
Treynor Ratio | -0.49% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.00 | 0.00 | nan | + |
2022 | 2.17 | -20.24 | -9.32 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2022-02-25 | -31.42 | 51 |
2022-01-03 | 2022-01-04 | -0.48 | 1 |