Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | 10.6% | 52.09% |
CAGR﹪ | 2.86% | 12.46% |
Sharpe | -24.25 | -7.43 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -17.26 | -5.29 |
Sortino | -13.36 | -7.25 |
Smart Sortino | -9.5 | -5.16 |
Sortino/√2 | -9.44 | -5.13 |
Smart Sortino/√2 | -6.72 | -3.65 |
Omega | 0.02 | 0.02 |
Max Drawdown | -9.84% | -53.53% |
Longest DD Days | 511 | 917 |
Volatility (ann.) | 8.47% | 25.92% |
R^2 | 0.11 | 0.11 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.29 | 0.23 |
Skew | -1.24 | -3.09 |
Kurtosis | 15.38 | 37.49 |
Expected Daily | 0.01% | 0.05% |
Expected Monthly | 0.23% | 0.96% |
Expected Yearly | 2.03% | 8.75% |
Kelly Criterion | -2.22% | -0.39% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.86% | -2.62% |
Expected Shortfall (cVaR) | -0.86% | -2.62% |
Max Consecutive Wins | 7 | 9 |
Max Consecutive Losses | 5 | 10 |
Gain/Pain Ratio | 0.08 | 0.14 |
Gain/Pain (1M) | 0.56 | 0.57 |
Payoff Ratio | 0.86 | 0.72 |
Profit Factor | 1.08 | 1.14 |
Common Sense Ratio | 1.19 | 1.1 |
CPC Index | 0.49 | 0.48 |
Tail Ratio | 1.1 | 0.96 |
Outlier Win Ratio | 7.2 | 2.69 |
Outlier Loss Ratio | 7.47 | 2.72 |
MTD | -0.63% | 3.22% |
3M | -0.18% | 8.94% |
6M | 2.26% | 7.81% |
YTD | -1.16% | 11.85% |
1Y | -0.36% | 40.09% |
3Y (ann.) | 3.28% | 5.32% |
5Y (ann.) | 2.86% | 12.46% |
10Y (ann.) | 2.86% | 12.46% |
All-time (ann.) | 2.86% | 12.46% |
Best Day | 2.45% | 10.89% |
Worst Day | -5.57% | -19.91% |
Best Month | 4.36% | 15.56% |
Worst Month | -7.25% | -30.02% |
Best Year | 8.15% | 53.84% |
Worst Year | -1.16% | -37.26% |
Avg. Drawdown | -0.97% | -3.11% |
Avg. Drawdown Days | 21 | 35 |
Recovery Factor | 1.08 | 0.97 |
Ulcer Index | 0.02 | 0.25 |
Serenity Index | -66.26 | -0.88 |
Avg. Up Month | 1.19% | 5.39% |
Avg. Down Month | -2.29% | -12.74% |
Win Days | 52.65% | 57.83% |
Win Month | 53.49% | 67.44% |
Win Quarter | 53.33% | 73.33% |
Win Year | 60.0% | 80.0% |
Beta | 0.11 | - |
Alpha | 0.02 | - |
Correlation | 33.24% | - |
Treynor Ratio | -6347.73% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 15.67 | 1.04 | 0.07 | - |
2021 | 21.79 | -0.80 | -0.04 | - |
2022 | -37.26 | 8.15 | -0.22 | + |
2023 | 53.84 | 3.22 | 0.06 | - |
2024 | 11.85 | -1.16 | -0.10 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-01-11 | 2022-06-06 | -9.84 | 511 |
2023-07-11 | 2023-12-29 | -4.50 | 171 |
2022-09-19 | 2022-11-16 | -4.26 | 58 |
2024-01-03 | 2024-04-25 | -1.83 | 113 |
2023-01-09 | 2023-01-31 | -1.50 | 22 |
2023-02-02 | 2023-03-02 | -1.46 | 28 |
2022-12-01 | 2022-12-13 | -1.38 | 12 |
2022-12-15 | 2023-01-03 | -1.28 | 19 |
2022-06-14 | 2022-06-21 | -1.17 | 7 |
2022-07-28 | 2022-08-18 | -1.13 | 21 |