Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 93.0% | 100.0% |
Cumulative Return | -72.45% | 20.14% |
CAGR﹪ | -29.5% | 5.1% |
Sharpe | -0.86 | 22.5 |
Prob. Sharpe Ratio | 3.51% | 100.0% |
Smart Sharpe | -0.6 | 15.72 |
Sortino | -0.89 | - |
Smart Sortino | -0.62 | - |
Sortino/√2 | -0.63 | - |
Smart Sortino/√2 | -0.44 | - |
Omega | 0.66 | 0.66 |
Max Drawdown | -79.84% | - |
Longest DD Days | - | - |
Volatility (ann.) | 54.1% | 0.44% |
R^2 | 0.52 | 0.52 |
Information Ratio | -0.07 | -0.07 |
Calmar | -0.37 | - |
Skew | -13.33 | 7.05 |
Kurtosis | 201.36 | 82.52 |
Expected Daily | -0.27% | 0.04% |
Expected Monthly | -5.23% | 0.77% |
Expected Yearly | -22.73% | 3.74% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.79% | -0.01% |
Expected Shortfall (cVaR) | -5.79% | -0.01% |
Max Consecutive Wins | 8 | 471 |
Max Consecutive Losses | 8 | 0 |
Gain/Pain Ratio | -0.34 | - |
Gain/Pain (1M) | -0.7 | - |
Payoff Ratio | - | - |
Profit Factor | 0.66 | - |
Common Sense Ratio | 0.57 | - |
CPC Index | - | - |
Tail Ratio | 0.86 | 7.12 |
Outlier Win Ratio | 2.15 | 34.97 |
Outlier Loss Ratio | 1.05 | - |
MTD | 5.51% | 0.6% |
3M | 12.8% | 3.99% |
6M | 10.34% | 6.04% |
YTD | 7.56% | 1.8% |
1Y | 4.91% | 10.2% |
3Y (ann.) | -69.32% | 10.77% |
5Y (ann.) | -29.5% | 5.1% |
10Y (ann.) | -29.5% | 5.1% |
All-time (ann.) | -29.5% | 5.1% |
Best Day | 9.28% | 0.36% |
Worst Day | -55.92% | 0.0% |
Best Month | 10.02% | 1.43% |
Worst Month | -74.58% | 0.17% |
Best Year | 7.56% | 9.51% |
Worst Year | -74.58% | 0.73% |
Avg. Drawdown | -6.97% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.91 | - |
Ulcer Index | 0.6 | 0.0 |
Serenity Index | -0.04 | - |
Avg. Up Month | 2.78% | 0.76% |
Avg. Down Month | - | - |
Win Days | 52.17% | 100.0% |
Win Month | 54.17% | 100.0% |
Win Quarter | 30.0% | 100.0% |
Win Year | 40.0% | 100.0% |
Beta | -89.22 | - |
Alpha | 8.28 | - |
Correlation | -71.81% | - |
Treynor Ratio | 0.81% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.71 | 5.90 | 1.25 | + |
2022 | 2.17 | -0.62 | -0.28 | - |
2023 | 0.73 | -74.58 | -102.16 | - |
2024 | 9.51 | -4.27 | -0.45 | - |
2025 | 1.80 | 7.56 | 4.19 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-13 | 2025-02-14 | -79.84 | 1220 |
2021-07-13 | 2021-08-10 | -3.12 | 28 |
2021-09-16 | 2021-09-27 | -2.14 | 11 |
2021-08-19 | 2021-08-30 | -1.55 | 11 |
2021-10-06 | 2021-10-07 | -0.86 | 1 |
2021-09-28 | 2021-10-05 | -0.72 | 7 |
2021-06-15 | 2021-07-01 | -0.61 | 16 |
2021-09-08 | 2021-09-14 | -0.41 | 6 |
2021-09-03 | 2021-09-06 | -0.38 | 3 |
2021-08-12 | 2021-08-16 | -0.31 | 4 |