Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 96.0% | 100.0% |
Cumulative Return | -62.88% | -62.77% |
CAGR﹪ | -30.08% | -30.0% |
Sharpe | -5.02 | -3.85 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.82 | -2.17 |
Sortino | -4.8 | -3.77 |
Smart Sortino | -2.7 | -2.12 |
Sortino/√2 | -3.39 | -2.67 |
Smart Sortino/√2 | -1.91 | -1.5 |
Omega | 0.03 | 0.03 |
Max Drawdown | -66.14% | -67.34% |
Longest DD Days | 898 | 762 |
Volatility (ann.) | 57.97% | 69.52% |
R^2 | 0.52 | 0.52 |
Information Ratio | -0.03 | -0.03 |
Calmar | -0.45 | -0.45 |
Skew | -10.32 | -14.68 |
Kurtosis | 109.08 | 223.36 |
Expected Daily | -0.42% | -0.41% |
Expected Monthly | -7.34% | -7.32% |
Expected Yearly | -21.95% | -21.89% |
Kelly Criterion | -103.44% | -61.58% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.33% | -7.44% |
Expected Shortfall (cVaR) | -6.33% | -7.44% |
Max Consecutive Wins | 7 | 10 |
Max Consecutive Losses | 4 | 6 |
Gain/Pain Ratio | -0.61 | -0.52 |
Gain/Pain (1M) | -0.9 | -0.79 |
Payoff Ratio | 0.3 | 0.37 |
Profit Factor | 0.39 | 0.48 |
Common Sense Ratio | 0.32 | 0.46 |
CPC Index | 0.06 | 0.1 |
Tail Ratio | 0.83 | 0.96 |
Outlier Win Ratio | 3.69 | 3.64 |
Outlier Loss Ratio | 2.38 | 2.72 |
MTD | 0.95% | 0.61% |
3M | -61.94% | -65.31% |
6M | -61.94% | -65.31% |
YTD | 3.18% | 3.52% |
1Y | -61.94% | -65.31% |
3Y (ann.) | -30.08% | -30.0% |
5Y (ann.) | -30.08% | -30.0% |
10Y (ann.) | -30.08% | -30.0% |
All-time (ann.) | -30.08% | -30.0% |
Best Day | 4.12% | 8.18% |
Worst Day | -40.06% | -66.46% |
Best Month | 2.27% | 5.46% |
Worst Month | -63.11% | -66.49% |
Best Year | 3.18% | 6.61% |
Worst Year | -63.11% | -66.49% |
Avg. Drawdown | -6.68% | -6.21% |
Avg. Drawdown Days | 89 | 75 |
Recovery Factor | -0.95 | -0.93 |
Ulcer Index | 0.33 | 0.34 |
Serenity Index | -1.3 | -1.49 |
Avg. Up Month | 1.19% | 1.26% |
Avg. Down Month | -16.75% | -17.53% |
Win Days | 53.3% | 56.78% |
Win Month | 53.85% | 69.23% |
Win Quarter | 50.0% | 66.67% |
Win Year | 50.0% | 75.0% |
Beta | 0.6 | - |
Alpha | -0.47 | - |
Correlation | 71.96% | - |
Treynor Ratio | -1271.43% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.67 | 0.39 | 0.58 | - |
2022 | 6.61 | -2.85 | -0.43 | - |
2023 | -66.49 | -63.11 | 0.95 | + |
2024 | 3.52 | 3.18 | 0.90 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-12 | 2024-03-28 | -66.14 | 898 |
2021-07-08 | 2021-08-09 | -1.82 | 32 |
2021-09-16 | 2021-09-30 | -1.44 | 14 |
2021-08-18 | 2021-09-01 | -1.40 | 14 |
2021-10-06 | 2021-10-08 | -0.68 | 2 |
2021-09-08 | 2021-09-13 | -0.45 | 5 |
2021-08-12 | 2021-08-16 | -0.44 | 4 |
2021-06-28 | 2021-07-01 | -0.44 | 3 |
2021-10-01 | 2021-10-04 | -0.36 | 3 |
2021-06-24 | 2021-06-25 | -0.27 | 1 |