Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 100.0% |
Cumulative Return | -65.45% | 10.67% |
CAGR﹪ | -31.03% | 3.61% |
Sharpe | -4.98 | -2.79 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.51 | -1.97 |
Sortino | -4.79 | -4.29 |
Smart Sortino | -3.38 | -3.02 |
Sortino/√2 | -3.39 | -3.03 |
Smart Sortino/√2 | -2.39 | -2.14 |
Omega | 0.05 | 0.05 |
Max Drawdown | -70.32% | -51.26% |
Longest DD Days | 898 | 917 |
Volatility (ann.) | 57.96% | 64.3% |
R^2 | 0.07 | 0.07 |
Information Ratio | -0.07 | -0.07 |
Calmar | -0.44 | 0.07 |
Skew | -9.82 | 4.31 |
Kurtosis | 104.42 | 90.31 |
Expected Daily | -0.41% | 0.04% |
Expected Monthly | -7.31% | 0.73% |
Expected Yearly | -23.33% | 2.57% |
Kelly Criterion | -43.55% | -10.96% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.32% | -6.55% |
Expected Shortfall (cVaR) | -6.32% | -6.55% |
Max Consecutive Wins | 6 | 9 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | -0.53 | 0.2 |
Gain/Pain (1M) | -0.87 | 0.77 |
Payoff Ratio | 0.47 | 0.6 |
Profit Factor | 0.47 | 1.2 |
Common Sense Ratio | 0.38 | 1.0 |
CPC Index | 0.12 | 0.42 |
Tail Ratio | 0.8 | 0.83 |
Outlier Win Ratio | 5.23 | 2.27 |
Outlier Loss Ratio | 5.21 | 5.23 |
MTD | 2.21% | 3.22% |
3M | 4.05% | 8.94% |
6M | -63.47% | 64.62% |
YTD | -0.29% | 11.85% |
1Y | -63.47% | 64.62% |
3Y (ann.) | -31.03% | 3.61% |
5Y (ann.) | -31.03% | 3.61% |
10Y (ann.) | -31.03% | 3.61% |
All-time (ann.) | -31.03% | 3.61% |
Best Day | 6.74% | 47.32% |
Worst Day | -42.23% | -33.28% |
Best Month | 3.73% | 47.19% |
Worst Month | -63.37% | -30.02% |
Best Year | 7.7% | 47.19% |
Worst Year | -63.37% | -34.42% |
Avg. Drawdown | -6.37% | -5.55% |
Avg. Drawdown Days | 78 | 84 |
Recovery Factor | -0.93 | 0.21 |
Ulcer Index | 0.39 | 0.1 |
Serenity Index | -0.96 | -15.26 |
Avg. Up Month | 1.84% | 2.77% |
Avg. Down Month | -4.72% | -14.19% |
Win Days | 53.85% | 58.46% |
Win Month | 57.14% | 64.29% |
Win Quarter | 57.14% | 71.43% |
Win Year | 25.0% | 75.0% |
Beta | -0.23 | - |
Alpha | -0.73 | - |
Correlation | -25.72% | - |
Treynor Ratio | 3302.36% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.52 | 7.70 | 3.06 | + |
2022 | -34.42 | -12.17 | 0.35 | + |
2023 | 47.19 | -63.37 | -1.34 | - |
2024 | 11.85 | -0.29 | -0.02 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-09 | 2024-04-25 | -70.32 | 898 |
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 |
2021-08-18 | 2021-08-30 | -1.18 | 12 |
2021-10-06 | 2021-10-07 | -0.82 | 1 |
2021-06-17 | 2021-06-22 | -0.77 | 5 |
2021-06-23 | 2021-06-30 | -0.35 | 7 |
2021-09-03 | 2021-09-06 | -0.28 | 3 |