Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | 18.41% | 31.4% |
CAGR﹪ | 3.33% | 5.44% |
Sharpe | -15.45 | -7.18 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.29 | -4.32 |
Sortino | -12.24 | -7.18 |
Smart Sortino | -7.36 | -4.32 |
Sortino/√2 | -8.65 | -5.08 |
Smart Sortino/√2 | -5.2 | -3.05 |
Omega | 0.04 | 0.04 |
Max Drawdown | -27.13% | -55.29% |
Longest DD Days | 1205 | 889 |
Volatility (ann.) | 13.24% | 27.75% |
R^2 | 0.4 | 0.4 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.12 | 0.1 |
Skew | 2.15 | -4.76 |
Kurtosis | 236.56 | 119.22 |
Expected Daily | 0.01% | 0.02% |
Expected Monthly | 0.27% | 0.43% |
Expected Yearly | 2.86% | 4.66% |
Kelly Criterion | -5.58% | -2.9% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.36% | -2.84% |
Expected Shortfall (cVaR) | -1.36% | -2.84% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 10 | 8 |
Gain/Pain Ratio | 0.11 | 0.08 |
Gain/Pain (1M) | 0.52 | 0.41 |
Payoff Ratio | 0.8 | 0.76 |
Profit Factor | 1.11 | 1.08 |
Common Sense Ratio | 1.28 | 1.05 |
CPC Index | 0.47 | 0.46 |
Tail Ratio | 1.15 | 0.97 |
Outlier Win Ratio | 7.74 | 2.69 |
Outlier Loss Ratio | 9.46 | 3.0 |
MTD | -1.84% | 1.72% |
3M | -2.61% | 6.95% |
6M | -0.35% | 7.99% |
YTD | -2.62% | 6.89% |
1Y | -3.43% | 35.73% |
3Y (ann.) | -0.91% | -2.82% |
5Y (ann.) | 3.13% | 5.35% |
10Y (ann.) | 3.33% | 5.44% |
All-time (ann.) | 3.33% | 5.44% |
Best Day | 17.61% | 20.04% |
Worst Day | -14.34% | -33.28% |
Best Month | 9.16% | 15.5% |
Worst Month | -5.81% | -30.02% |
Best Year | 16.2% | 43.87% |
Worst Year | -5.45% | -43.12% |
Avg. Drawdown | -1.44% | -3.93% |
Avg. Drawdown Days | 43 | 44 |
Recovery Factor | 0.68 | 0.57 |
Ulcer Index | 0.04 | 0.26 |
Serenity Index | -17.0 | -0.92 |
Avg. Up Month | 1.51% | 3.93% |
Avg. Down Month | -2.23% | -8.83% |
Win Days | 53.16% | 55.71% |
Win Month | 54.84% | 67.74% |
Win Quarter | 61.9% | 61.9% |
Win Year | 50.0% | 83.33% |
Beta | 0.3 | - |
Alpha | 0.01 | - |
Correlation | 63.35% | - |
Treynor Ratio | -2254.88% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 20.82 | 16.20 | 0.78 | - |
2020 | 7.98 | 7.29 | 0.91 | - |
2021 | 15.15 | -5.45 | -0.36 | - |
2022 | -43.12 | 3.31 | -0.08 | + |
2023 | 43.87 | -0.15 | -0.00 | - |
2024 | 6.89 | -2.62 | -0.38 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-12-09 | 2024-03-28 | -27.13 | 1205 |
2020-02-25 | 2020-04-23 | -10.79 | 58 |
2019-05-06 | 2019-06-19 | -3.34 | 44 |
2020-06-22 | 2020-11-12 | -2.42 | 143 |
2019-02-07 | 2019-03-11 | -1.33 | 32 |
2019-03-22 | 2019-04-15 | -1.15 | 24 |
2020-05-27 | 2020-06-18 | -1.13 | 22 |
2019-09-11 | 2019-10-07 | -1.09 | 26 |
2019-07-26 | 2019-08-21 | -0.97 | 26 |
2019-11-06 | 2019-11-21 | -0.90 | 15 |