Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 72.35% | -3.49% |
CAGR﹪ | 20.83% | -1.23% |
Sharpe | -8.57 | -6.46 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.78 | -5.11 |
Sortino | -8.4 | -6.59 |
Smart Sortino | -6.64 | -5.21 |
Sortino/√2 | -5.94 | -4.66 |
Smart Sortino/√2 | -4.7 | -3.69 |
Omega | 0.17 | 0.17 |
Max Drawdown | -22.08% | -52.0% |
Longest DD Days | 108 | 324 |
Volatility (ann.) | 21.87% | 31.64% |
R^2 | 0.36 | 0.36 |
Information Ratio | 0.04 | 0.04 |
Calmar | 0.94 | -0.02 |
Skew | -1.36 | -5.46 |
Kurtosis | 53.65 | 122.75 |
Expected Daily | 0.08% | -0.0% |
Expected Monthly | 1.57% | -0.1% |
Expected Yearly | 14.58% | -0.88% |
Kelly Criterion | 3.14% | -1.03% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.18% | -3.26% |
Expected Shortfall (cVaR) | -2.18% | -3.26% |
Max Consecutive Wins | 11 | 11 |
Max Consecutive Losses | 6 | 8 |
Gain/Pain Ratio | 0.23 | 0.04 |
Gain/Pain (1M) | 1.98 | 0.17 |
Payoff Ratio | 0.85 | 0.79 |
Profit Factor | 1.23 | 1.04 |
Common Sense Ratio | 1.44 | 0.96 |
CPC Index | 0.58 | 0.45 |
Tail Ratio | 1.17 | 0.92 |
Outlier Win Ratio | 4.0 | 3.58 |
Outlier Loss Ratio | 4.69 | 3.57 |
MTD | -5.99% | -30.02% |
3M | -7.25% | -37.47% |
6M | -2.29% | -36.47% |
YTD | -9.67% | -34.77% |
1Y | 12.89% | -27.03% |
3Y (ann.) | 20.83% | -1.23% |
5Y (ann.) | 20.83% | -1.23% |
10Y (ann.) | 20.83% | -1.23% |
All-time (ann.) | 20.83% | -1.23% |
Best Day | 14.69% | 20.04% |
Worst Day | -17.35% | -33.28% |
Best Month | 10.45% | 15.5% |
Worst Month | -6.59% | -30.02% |
Best Year | 39.15% | 18.99% |
Worst Year | -9.67% | -34.77% |
Avg. Drawdown | -2.67% | -3.67% |
Avg. Drawdown Days | 18 | 22 |
Recovery Factor | 3.28 | -0.07 |
Ulcer Index | 0.03 | 0.09 |
Serenity Index | -39.95 | -8.25 |
Avg. Up Month | 3.88% | 3.72% |
Avg. Down Month | -4.52% | -13.42% |
Win Days | 55.4% | 55.31% |
Win Month | 71.43% | 65.71% |
Win Quarter | 83.33% | 66.67% |
Win Year | 75.0% | 75.0% |
Beta | 0.41 | - |
Alpha | 0.2 | - |
Correlation | 59.75% | - |
Treynor Ratio | -1519.76% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 18.99 | 6.87 | 0.36 | - |
2020 | 7.98 | 39.15 | 4.90 | + |
2021 | 15.15 | 28.31 | 1.87 | + |
2022 | -34.77 | -9.67 | 0.28 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-02-25 | -22.08 | 50 |
2020-02-21 | 2020-06-08 | -17.10 | 108 |
2020-09-03 | 2020-10-12 | -7.56 | 39 |
2021-08-26 | 2021-11-03 | -6.58 | 69 |
2019-05-06 | 2019-07-29 | -6.07 | 84 |
2021-11-23 | 2021-12-29 | -5.89 | 36 |
2021-04-13 | 2021-07-05 | -5.62 | 83 |
2020-10-19 | 2020-11-06 | -5.46 | 18 |
2020-06-11 | 2020-07-02 | -4.32 | 21 |
2021-01-26 | 2021-03-18 | -4.20 | 51 |