Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 5.18% | 18.49% |
CAGR﹪ | 1.67% | 5.72% |
Sharpe | 0.19 | 20.73 |
Prob. Sharpe Ratio | 62.3% | 100.0% |
Smart Sharpe | 0.18 | 19.43 |
Sortino | 0.23 | 150.83 |
Smart Sortino | 0.22 | 141.4 |
Sortino/√2 | 0.16 | 106.65 |
Smart Sortino/√2 | 0.15 | 99.99 |
Omega | 1.04 | 1.04 |
Max Drawdown | -26.1% | -0.4% |
Longest DD Days | 479 | 120 |
Volatility (ann.) | 16.84% | 0.27% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.01 | -0.01 |
Calmar | 0.06 | 14.32 |
Skew | -7.67 | 0.2 |
Kurtosis | 152.25 | -0.3 |
Expected Daily | 0.01% | 0.02% |
Expected Monthly | 0.14% | 0.46% |
Expected Yearly | 1.27% | 4.33% |
Kelly Criterion | 3.18% | 86.56% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.73% | -0.01% |
Expected Shortfall (cVaR) | -1.73% | -0.01% |
Max Consecutive Wins | 8 | 357 |
Max Consecutive Losses | 7 | 43 |
Gain/Pain Ratio | 0.04 | 33.25 |
Gain/Pain (1M) | 0.23 | 33.25 |
Payoff Ratio | 1.06 | 4.94 |
Profit Factor | 1.04 | 34.25 |
Common Sense Ratio | 1.19 | 229.5 |
CPC Index | 0.56 | 150.43 |
Tail Ratio | 1.14 | 6.7 |
Outlier Win Ratio | 2.35 | 52.77 |
Outlier Loss Ratio | 1.86 | 177.82 |
MTD | -17.25% | 1.17% |
3M | -17.28% | 3.2% |
6M | -17.51% | 5.82% |
YTD | -17.42% | 2.17% |
1Y | -17.22% | 9.24% |
3Y (ann.) | 1.88% | 5.74% |
5Y (ann.) | 1.67% | 5.72% |
10Y (ann.) | 1.67% | 5.72% |
All-time (ann.) | 1.67% | 5.72% |
Best Day | 6.23% | 0.06% |
Worst Day | -19.56% | -0.01% |
Best Month | 11.03% | 1.17% |
Worst Month | -17.25% | -0.24% |
Best Year | 25.78% | 8.39% |
Worst Year | -17.42% | 1.99% |
Avg. Drawdown | -3.18% | -0.25% |
Avg. Drawdown Days | 50 | 93 |
Recovery Factor | 0.2 | 46.28 |
Ulcer Index | 0.06 | 0.0 |
Serenity Index | 0.1 | 21.75 |
Avg. Up Month | 2.35% | 0.43% |
Avg. Down Month | -2.34% | -0.16% |
Win Days | 50.2% | 88.82% |
Win Month | 54.05% | 89.19% |
Win Quarter | 38.46% | 92.31% |
Win Year | 50.0% | 100.0% |
Beta | -4.89 | - |
Alpha | 0.3 | - |
Correlation | -7.77% | - |
Treynor Ratio | -1.06% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 1.99 | 2.65 | 1.34 | + |
2020 | 4.91 | 25.78 | 5.25 | + |
2021 | 8.39 | -1.34 | -0.16 | - |
2022 | 2.17 | -17.42 | -8.02 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2022-02-25 | -26.10 | 479 |
2020-03-19 | 2020-08-25 | -9.70 | 159 |
2019-09-04 | 2020-02-25 | -6.60 | 174 |
2020-09-30 | 2020-10-30 | -3.12 | 30 |
2020-03-13 | 2020-03-18 | -3.07 | 5 |
2019-02-15 | 2019-05-02 | -2.97 | 76 |
2019-06-07 | 2019-08-02 | -2.64 | 56 |
2020-08-27 | 2020-09-03 | -2.51 | 7 |
2020-09-09 | 2020-09-21 | -1.98 | 12 |
2019-08-21 | 2019-08-28 | -1.57 | 7 |