Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 92.0% |
Cumulative Return | -8.47% | 53.83% |
CAGR﹪ | -1.84% | 9.46% |
Sharpe | -15.83 | -18.38 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -10.27 | -11.93 |
Sortino | -12.41 | -12.26 |
Smart Sortino | -8.05 | -7.95 |
Sortino/√2 | -8.78 | -8.67 |
Smart Sortino/√2 | -5.7 | -5.62 |
Omega | 0.04 | 0.04 |
Max Drawdown | -27.13% | -20.43% |
Longest DD Days | 1415 | 521 |
Volatility (ann.) | 13.26% | 10.83% |
R^2 | 0.29 | 0.29 |
Information Ratio | -0.06 | -0.06 |
Calmar | -0.07 | 0.46 |
Skew | 3.23 | -3.23 |
Kurtosis | 243.56 | 55.34 |
Expected Daily | -0.01% | 0.04% |
Expected Monthly | -0.15% | 0.75% |
Expected Yearly | -1.75% | 9.0% |
Kelly Criterion | -4.18% | 4.91% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.38% | -1.08% |
Expected Shortfall (cVaR) | -1.38% | -1.08% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 10 | 6 |
Gain/Pain Ratio | -0.02 | 0.2 |
Gain/Pain (1M) | -0.09 | 1.05 |
Payoff Ratio | 0.96 | 0.85 |
Profit Factor | 0.98 | 1.2 |
Common Sense Ratio | 1.0 | 1.3 |
CPC Index | 0.46 | 0.58 |
Tail Ratio | 1.02 | 1.08 |
Outlier Win Ratio | 4.44 | 3.81 |
Outlier Loss Ratio | 4.64 | 3.24 |
MTD | -1.96% | 0.88% |
3M | -2.66% | 5.52% |
6M | -8.92% | 1.9% |
YTD | -11.33% | 8.51% |
1Y | -8.44% | 8.66% |
3Y (ann.) | -2.23% | 9.51% |
5Y (ann.) | -1.84% | 9.46% |
10Y (ann.) | -1.84% | 9.46% |
All-time (ann.) | -1.84% | 9.46% |
Best Day | 17.61% | 4.59% |
Worst Day | -14.34% | -10.6% |
Best Month | 9.16% | 9.22% |
Worst Month | -5.81% | -9.74% |
Best Year | 5.84% | 27.37% |
Worst Year | -11.33% | -5.83% |
Avg. Drawdown | -2.99% | -1.65% |
Avg. Drawdown Days | 112 | 31 |
Recovery Factor | -0.31 | 2.63 |
Ulcer Index | 0.06 | 0.06 |
Serenity Index | -10.0 | -6.48 |
Avg. Up Month | 1.73% | 3.06% |
Avg. Down Month | -2.56% | -2.89% |
Win Days | 49.1% | 56.27% |
Win Month | 39.66% | 68.42% |
Win Quarter | 45.0% | 65.0% |
Win Year | 40.0% | 80.0% |
Beta | 0.66 | - |
Alpha | -0.07 | - |
Correlation | 54.05% | - |
Treynor Ratio | -1070.5% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 14.21 | 5.84 | 0.41 | - |
2021 | 3.49 | -5.45 | -1.56 | - |
2022 | -5.83 | 3.31 | -0.57 | + |
2023 | 27.37 | -0.15 | -0.01 | - |
2024 | 8.51 | -11.33 | -1.33 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-12-09 | 2024-10-24 | -27.13 | 1415 |
2020-02-25 | 2020-04-23 | -10.79 | 58 |
2020-06-22 | 2020-11-12 | -2.42 | 143 |
2020-05-27 | 2020-06-18 | -1.13 | 22 |
2020-11-24 | 2020-12-08 | -0.62 | 14 |
2020-05-14 | 2020-05-15 | -0.46 | 1 |
2020-11-17 | 2020-11-23 | -0.41 | 6 |
2020-01-21 | 2020-02-05 | -0.37 | 15 |
2020-05-19 | 2020-05-22 | -0.32 | 3 |
2020-04-29 | 2020-04-30 | -0.28 | 1 |