Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 89.0% | 93.0% |
Cumulative Return | -1.21% | -0.92% |
CAGR﹪ | -11.27% | -8.7% |
Sharpe | -18.97 | -21.57 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -15.15 | -17.23 |
Sortino | -12.84 | -13.54 |
Smart Sortino | -10.26 | -10.81 |
Sortino/√2 | -9.08 | -9.57 |
Smart Sortino/√2 | -7.25 | -7.65 |
Omega | 0.07 | 0.07 |
Max Drawdown | -4.08% | -4.1% |
Longest DD Days | 28 | 28 |
Volatility (ann.) | 11.57% | 10.06% |
R^2 | 0.67 | 0.67 |
Information Ratio | -0.02 | -0.02 |
Calmar | -2.77 | -2.12 |
Skew | 1.51 | 2.6 |
Kurtosis | 5.67 | 10.33 |
Expected Daily | -0.04% | -0.03% |
Expected Monthly | -0.6% | -0.46% |
Expected Yearly | -1.21% | -0.92% |
Kelly Criterion | -4.92% | -4.06% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.24% | -1.07% |
Expected Shortfall (cVaR) | -1.24% | -1.07% |
Max Consecutive Wins | 3 | 2 |
Max Consecutive Losses | 3 | 4 |
Gain/Pain Ratio | -0.17 | -0.16 |
Gain/Pain (1M) | -0.61 | -0.56 |
Payoff Ratio | 0.91 | 1.36 |
Profit Factor | 0.83 | 0.84 |
Common Sense Ratio | 0.62 | 0.67 |
CPC Index | 0.38 | 0.46 |
Tail Ratio | 0.75 | 0.8 |
Outlier Win Ratio | 5.69 | 5.4 |
Outlier Loss Ratio | 1.88 | 2.83 |
MTD | -1.86% | -1.54% |
3M | -1.21% | -0.92% |
6M | -1.21% | -0.92% |
YTD | -1.21% | -0.92% |
1Y | -1.21% | -0.92% |
3Y (ann.) | -11.27% | -8.7% |
5Y (ann.) | -11.27% | -8.7% |
10Y (ann.) | -11.27% | -8.7% |
All-time (ann.) | -11.27% | -8.7% |
Best Day | 2.56% | 2.54% |
Worst Day | -1.29% | -0.81% |
Best Month | 0.66% | 0.64% |
Worst Month | -1.86% | -1.54% |
Best Year | -1.21% | -0.92% |
Worst Year | -1.21% | -0.92% |
Avg. Drawdown | -1.62% | -1.63% |
Avg. Drawdown Days | 11 | 11 |
Recovery Factor | -0.3 | -0.22 |
Ulcer Index | 0.02 | 0.02 |
Serenity Index | -49.61 | -43.51 |
Avg. Up Month | 0.66% | 0.64% |
Avg. Down Month | -1.86% | -1.54% |
Win Days | 50.0% | 40.0% |
Win Month | 50.0% | 50.0% |
Win Quarter | 0.0% | 0.0% |
Win Year | 0.0% | 0.0% |
Beta | 0.94 | - |
Alpha | -0.03 | - |
Correlation | 81.9% | - |
Treynor Ratio | -744.2% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2024 | -0.92 | -1.21 | 1.31 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2024-04-19 | 2024-05-17 | -4.08 | 28 |
2024-04-11 | 2024-04-15 | -0.70 | 4 |
2024-04-16 | 2024-04-17 | -0.08 | 1 |