Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 88.0% | 99.0% |
Cumulative Return | -0.81% | 2.61% |
CAGR﹪ | -2.29% | 7.58% |
Sharpe | 0.18 | 28.74 |
Prob. Sharpe Ratio | 54.01% | - |
Smart Sharpe | 0.11 | 17.03 |
Sortino | 0.28 | - |
Smart Sortino | 0.17 | - |
Sortino/√2 | 0.2 | - |
Smart Sortino/√2 | 0.12 | - |
Omega | 1.07 | 1.07 |
Max Drawdown | -16.5% | - |
Longest DD Days | - | - |
Volatility (ann.) | 47.87% | 0.28% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.0 | 0.0 |
Calmar | -0.14 | - |
Skew | 1.71 | 2.22 |
Kurtosis | 33.72 | 3.76 |
Expected Daily | -0.01% | 0.03% |
Expected Monthly | -0.16% | 0.52% |
Expected Yearly | -0.81% | 2.61% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.93% | -0.0% |
Expected Shortfall (cVaR) | -4.93% | -0.0% |
Max Consecutive Wins | 4 | 79 |
Max Consecutive Losses | 4 | 0 |
Gain/Pain Ratio | 0.07 | - |
Gain/Pain (1M) | 0.66 | - |
Payoff Ratio | - | - |
Profit Factor | 1.07 | - |
Common Sense Ratio | 0.98 | - |
CPC Index | - | - |
Tail Ratio | 0.92 | 3.44 |
Outlier Win Ratio | 4.22 | 111.7 |
Outlier Loss Ratio | 2.91 | - |
MTD | 1.73% | 0.38% |
3M | 0.89% | 1.34% |
6M | -0.81% | 2.61% |
YTD | -0.81% | 2.61% |
1Y | -0.81% | 2.61% |
3Y (ann.) | -2.29% | 7.58% |
5Y (ann.) | -2.29% | 7.58% |
10Y (ann.) | -2.29% | 7.58% |
All-time (ann.) | -2.29% | 7.58% |
Best Day | 19.88% | 0.08% |
Worst Day | -16.07% | 0.0% |
Best Month | 1.73% | 0.73% |
Worst Month | -4.12% | 0.38% |
Best Year | -0.81% | 2.61% |
Worst Year | -0.81% | 2.61% |
Avg. Drawdown | -4.09% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.05 | - |
Ulcer Index | 0.03 | 0.0 |
Serenity Index | -0.11 | - |
Avg. Up Month | 0.85% | 0.54% |
Avg. Down Month | - | - |
Win Days | 52.86% | 100.0% |
Win Month | 80.0% | 100.0% |
Win Quarter | 50.0% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | 0.6 | - |
Alpha | 0.04 | - |
Correlation | 0.35% | - |
Treynor Ratio | -1.36% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2025 | 2.61 | -0.81 | -0.31 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2025-03-12 | 2025-03-14 | -16.50 | 2 |
2025-03-27 | 2025-06-26 | -5.55 | 91 |
2025-03-24 | 2025-03-26 | -3.13 | 2 |
2025-03-17 | 2025-03-21 | -1.28 | 4 |
2025-02-20 | 2025-02-28 | -1.14 | 8 |
2025-03-03 | 2025-03-11 | -0.98 | 8 |
2025-02-18 | 2025-02-19 | -0.05 | 1 |