Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | -70.69% | 14.63% |
CAGR﹪ | -30.28% | 4.09% |
Sharpe | -1.3 | 19.39 |
Prob. Sharpe Ratio | 0.15% | 100.0% |
Smart Sharpe | -0.93 | 13.81 |
Sortino | -1.33 | - |
Smart Sortino | -0.94 | - |
Sortino/√2 | -0.94 | - |
Smart Sortino/√2 | -0.67 | - |
Omega | 0.54 | 0.54 |
Max Drawdown | -74.0% | - |
Longest DD Days | - | - |
Volatility (ann.) | 47.61% | 0.44% |
R^2 | 0.62 | 0.62 |
Information Ratio | -0.09 | -0.09 |
Calmar | -0.41 | - |
Skew | -11.55 | 8.32 |
Kurtosis | 150.29 | 97.16 |
Expected Daily | -0.31% | 0.03% |
Expected Monthly | -5.68% | 0.65% |
Expected Yearly | -26.42% | 3.47% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.18% | -0.01% |
Expected Shortfall (cVaR) | -5.18% | -0.01% |
Max Consecutive Wins | 6 | 400 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | -0.46 | - |
Gain/Pain (1M) | -0.84 | - |
Payoff Ratio | - | - |
Profit Factor | 0.54 | - |
Common Sense Ratio | 0.43 | - |
CPC Index | - | - |
Tail Ratio | 0.78 | 6.81 |
Outlier Win Ratio | 1.97 | 31.39 |
Outlier Loss Ratio | 1.21 | - |
MTD | 1.03% | 0.05% |
3M | -7.67% | 1.25% |
6M | -15.23% | 3.83% |
YTD | -15.23% | 6.37% |
1Y | -68.95% | 7.15% |
3Y (ann.) | -35.94% | 3.42% |
5Y (ann.) | -30.28% | 4.09% |
10Y (ann.) | -30.28% | 4.09% |
All-time (ann.) | -30.28% | 4.09% |
Best Day | 6.74% | 0.36% |
Worst Day | -42.23% | 0.0% |
Best Month | 5.37% | 1.17% |
Worst Month | -63.37% | 0.05% |
Best Year | 7.45% | 6.37% |
Worst Year | -63.37% | 0.73% |
Avg. Drawdown | -6.69% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.96 | - |
Ulcer Index | 0.52 | 0.0 |
Serenity Index | -0.04 | - |
Avg. Up Month | 1.9% | 0.51% |
Avg. Down Month | - | - |
Win Days | 51.06% | 100.0% |
Win Month | 47.62% | 100.0% |
Win Quarter | 33.33% | 100.0% |
Win Year | 25.0% | 100.0% |
Beta | -84.75 | - |
Alpha | 6.65 | - |
Correlation | -78.78% | - |
Treynor Ratio | 0.83% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.71 | 7.45 | 1.58 | + |
2022 | 2.17 | -12.17 | -5.60 | - |
2023 | 0.73 | -63.37 | -86.81 | - |
2024 | 6.37 | -15.23 | -2.39 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-09 | 2024-11-02 | -74.00 | 1089 |
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 |