Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -5.62% | 6.98% |
CAGR﹪ | -7.77% | 9.89% |
Sharpe | -0.26 | 32.76 |
Prob. Sharpe Ratio | 40.97% | - |
Smart Sharpe | -0.19 | 23.84 |
Sortino | -0.31 | - |
Smart Sortino | -0.22 | - |
Sortino/√2 | -0.22 | - |
Smart Sortino/√2 | -0.16 | - |
Omega | 0.94 | 0.94 |
Max Drawdown | -20.06% | - |
Longest DD Days | - | - |
Volatility (ann.) | 21.45% | 0.28% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.04 | -0.04 |
Calmar | -0.39 | - |
Skew | -4.83 | -0.31 |
Kurtosis | 57.04 | -1.0 |
Expected Daily | -0.03% | 0.04% |
Expected Monthly | -0.64% | 0.75% |
Expected Yearly | -2.85% | 3.43% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.24% | -0.01% |
Expected Shortfall (cVaR) | -2.24% | -0.01% |
Max Consecutive Wins | 6 | 183 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | -0.06 | - |
Gain/Pain (1M) | -0.3 | - |
Payoff Ratio | - | - |
Profit Factor | 0.94 | - |
Common Sense Ratio | 0.85 | - |
CPC Index | - | - |
Tail Ratio | 0.91 | 8.37 |
Outlier Win Ratio | 1.77 | 29.65 |
Outlier Loss Ratio | 1.55 | - |
MTD | -9.42% | 1.17% |
3M | -13.06% | 3.2% |
6M | -9.9% | 5.82% |
YTD | -12.17% | 2.17% |
1Y | -5.62% | 6.98% |
3Y (ann.) | -7.77% | 9.89% |
5Y (ann.) | -7.77% | 9.89% |
10Y (ann.) | -7.77% | 9.89% |
All-time (ann.) | -7.77% | 9.89% |
Best Day | 6.74% | 0.06% |
Worst Day | -13.51% | 0.0% |
Best Month | 3.73% | 1.17% |
Worst Month | -9.42% | 0.17% |
Best Year | 7.45% | 4.71% |
Worst Year | -12.17% | 2.17% |
Avg. Drawdown | -2.54% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.28 | - |
Ulcer Index | 0.04 | 0.0 |
Serenity Index | -0.3 | - |
Avg. Up Month | 1.5% | 0.61% |
Avg. Down Month | - | - |
Win Days | 53.3% | 100.0% |
Win Month | 66.67% | 100.0% |
Win Quarter | 75.0% | 100.0% |
Win Year | 50.0% | 100.0% |
Beta | -6.69 | - |
Alpha | 0.56 | - |
Correlation | -8.8% | - |
Treynor Ratio | 0.84% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.71 | 7.45 | 1.58 | + |
2022 | 2.17 | -12.17 | -5.60 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-09 | 2022-02-25 | -20.06 | 108 |
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 |