Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -1.14% | 24.09% |
CAGR﹪ | -0.46% | 9.13% |
Sharpe | -2.78 | -3.07 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.45 | -2.7 |
Sortino | -3.47 | -3.78 |
Smart Sortino | -3.05 | -3.33 |
Sortino/√2 | -2.45 | -2.67 |
Smart Sortino/√2 | -2.16 | -2.35 |
Omega | 0.57 | 0.57 |
Max Drawdown | -43.97% | -24.49% |
Longest DD Days | 635 | 708 |
Volatility (ann.) | 24.1% | 18.98% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.01 | 0.37 |
Skew | -0.71 | 0.04 |
Kurtosis | 13.03 | 2.51 |
Expected Daily | -0.0% | 0.04% |
Expected Monthly | -0.04% | 0.72% |
Expected Yearly | -0.29% | 5.54% |
Kelly Criterion | -7.76% | 8.52% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.49% | -1.92% |
Expected Shortfall (cVaR) | -2.49% | -1.92% |
Max Consecutive Wins | 7 | 8 |
Max Consecutive Losses | 9 | 6 |
Gain/Pain Ratio | 0.02 | 0.11 |
Gain/Pain (1M) | 0.08 | 0.46 |
Payoff Ratio | 0.86 | 1.18 |
Profit Factor | 1.02 | 1.11 |
Common Sense Ratio | 1.27 | 1.18 |
CPC Index | 0.44 | 0.66 |
Tail Ratio | 1.25 | 1.07 |
Outlier Win Ratio | 3.95 | 4.08 |
Outlier Loss Ratio | 4.03 | 4.47 |
MTD | -0.15% | 3.1% |
3M | 3.14% | 10.34% |
6M | 12.27% | 23.78% |
YTD | 1.39% | 10.43% |
1Y | -6.8% | 34.28% |
3Y (ann.) | -0.46% | 9.13% |
5Y (ann.) | -0.46% | 9.13% |
10Y (ann.) | -0.46% | 9.13% |
All-time (ann.) | -0.46% | 9.13% |
Best Day | 8.5% | 5.76% |
Worst Day | -10.9% | -4.55% |
Best Month | 20.3% | 9.22% |
Worst Month | -15.77% | -9.21% |
Best Year | 18.12% | 26.29% |
Worst Year | -15.41% | -18.32% |
Avg. Drawdown | -7.44% | -1.87% |
Avg. Drawdown Days | 72 | 32 |
Recovery Factor | -0.03 | 0.98 |
Ulcer Index | 0.26 | 0.12 |
Serenity Index | -0.13 | -0.38 |
Avg. Up Month | 3.68% | 4.45% |
Avg. Down Month | -5.22% | -3.35% |
Win Days | 50.26% | 50.43% |
Win Month | 43.33% | 60.0% |
Win Quarter | 30.0% | 60.0% |
Win Year | 50.0% | 75.0% |
Beta | 0.06 | - |
Alpha | 0.02 | - |
Correlation | 4.84% | - |
Treynor Ratio | -1647.61% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 8.94 | -2.41 | -0.27 | - |
2022 | -18.32 | 18.12 | -0.99 | + |
2023 | 26.29 | -15.41 | -0.59 | - |
2024 | 10.43 | 1.39 | 0.13 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-07-01 | 2024-03-27 | -43.97 | 635 |
2021-10-27 | 2022-04-25 | -18.77 | 180 |
2022-05-25 | 2022-06-10 | -14.76 | 16 |
2022-05-05 | 2022-05-12 | -4.12 | 7 |
2022-06-29 | 2022-06-30 | -2.72 | 1 |
2022-05-13 | 2022-05-19 | -1.84 | 6 |
2022-04-26 | 2022-04-27 | -0.87 | 1 |
2022-06-15 | 2022-06-16 | -0.70 | 1 |
2022-06-23 | 2022-06-28 | -0.56 | 5 |
2021-10-21 | 2021-10-22 | -0.34 | 1 |