Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | -66.97% | 39.84% |
CAGR﹪ | -23.85% | 8.6% |
Sharpe | -0.92 | 23.51 |
Prob. Sharpe Ratio | 1.77% | 100.0% |
Smart Sharpe | -0.66 | 16.98 |
Sortino | -0.96 | - |
Smart Sortino | -0.69 | - |
Sortino/√2 | -0.68 | - |
Smart Sortino/√2 | -0.49 | - |
Omega | 0.7 | 0.7 |
Max Drawdown | -74.45% | - |
Longest DD Days | - | - |
Volatility (ann.) | 41.28% | 0.63% |
R^2 | 0.54 | 0.54 |
Information Ratio | -0.08 | -0.08 |
Calmar | -0.32 | - |
Skew | -12.56 | 9.32 |
Kurtosis | 189.67 | 128.92 |
Expected Daily | -0.2% | 0.06% |
Expected Monthly | -3.75% | 1.16% |
Expected Yearly | -19.87% | 6.94% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.43% | -0.01% |
Expected Shortfall (cVaR) | -4.43% | -0.01% |
Max Consecutive Wins | 7 | 566 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | -0.3 | - |
Gain/Pain (1M) | -0.68 | - |
Payoff Ratio | - | - |
Profit Factor | 0.7 | - |
Common Sense Ratio | 0.62 | - |
CPC Index | - | - |
Tail Ratio | 0.89 | 3.71 |
Outlier Win Ratio | 2.01 | 21.62 |
Outlier Loss Ratio | 1.13 | - |
MTD | -0.6% | 0.15% |
3M | -1.04% | 4.95% |
6M | 1.84% | 10.61% |
YTD | 1.84% | 10.61% |
1Y | 1.06% | 21.76% |
3Y (ann.) | -50.05% | 20.72% |
5Y (ann.) | -23.85% | 8.6% |
10Y (ann.) | -23.85% | 8.6% |
All-time (ann.) | -23.85% | 8.6% |
Best Day | 6.74% | 0.61% |
Worst Day | -42.23% | 0.0% |
Best Month | 10.68% | 1.83% |
Worst Month | -63.37% | 0.15% |
Best Year | 7.45% | 18.74% |
Worst Year | -63.37% | 1.23% |
Avg. Drawdown | -6.73% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.9 | - |
Ulcer Index | 0.58 | 0.0 |
Serenity Index | -0.03 | - |
Avg. Up Month | 2.92% | 1.13% |
Avg. Down Month | - | - |
Win Days | 51.23% | 100.0% |
Win Month | 48.28% | 100.0% |
Win Quarter | 41.67% | 100.0% |
Win Year | 40.0% | 100.0% |
Beta | -48.01 | - |
Alpha | 6.78 | - |
Correlation | -73.76% | - |
Treynor Ratio | 1.39% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.77 | 7.45 | 1.98 | + |
2022 | 1.36 | -12.17 | -8.92 | - |
2023 | 1.23 | -63.37 | -51.54 | - |
2024 | 18.74 | -6.18 | -0.33 | - |
2025 | 10.61 | 1.84 | 0.17 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-09 | 2025-07-02 | -74.45 | 1331 |
2021-07-08 | 2021-08-10 | -3.46 | 33 |
2021-09-07 | 2021-10-05 | -2.26 | 28 |
2021-10-21 | 2021-11-08 | -1.56 | 18 |
2021-10-12 | 2021-10-19 | -1.29 | 7 |
2021-06-15 | 2021-06-30 | -1.20 | 15 |
2021-08-18 | 2021-08-30 | -1.18 | 12 |
2021-10-06 | 2021-10-07 | -0.82 | 1 |
2021-06-10 | 2021-06-14 | -0.44 | 4 |
2021-09-03 | 2021-09-06 | -0.28 | 3 |