Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -20.96% | 8.31% |
CAGR﹪ | -17.09% | 6.57% |
Sharpe | -0.09 | 43.66 |
Prob. Sharpe Ratio | 46.43% | 100.0% |
Smart Sharpe | -0.08 | 41.1 |
Sortino | -0.1 | - |
Smart Sortino | -0.09 | - |
Sortino/√2 | -0.07 | - |
Smart Sortino/√2 | -0.06 | - |
Omega | 0.97 | 0.97 |
Max Drawdown | -52.16% | - |
Longest DD Days | - | - |
Volatility (ann.) | 53.97% | 0.19% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.33 | - |
Skew | -9.84 | 3.86 |
Kurtosis | 133.2 | 19.11 |
Expected Daily | -0.1% | 0.03% |
Expected Monthly | -1.79% | 0.62% |
Expected Yearly | -7.54% | 2.7% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.61% | -0.01% |
Expected Shortfall (cVaR) | -5.61% | -0.01% |
Max Consecutive Wins | 6 | 243 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | -0.03 | - |
Gain/Pain (1M) | -0.06 | - |
Payoff Ratio | - | - |
Profit Factor | 0.97 | - |
Common Sense Ratio | 1.01 | - |
CPC Index | - | - |
Tail Ratio | 1.04 | 2.16 |
Outlier Win Ratio | 1.95 | 77.11 |
Outlier Loss Ratio | 1.27 | - |
MTD | 6.4% | 0.64% |
3M | 31.79% | 2.15% |
6M | 37.09% | 3.9% |
YTD | 10.24% | 1.32% |
1Y | -19.56% | 5.73% |
3Y (ann.) | -17.09% | 6.57% |
5Y (ann.) | -17.09% | 6.57% |
10Y (ann.) | -17.09% | 6.57% |
All-time (ann.) | -17.09% | 6.57% |
Best Day | 8.11% | 0.1% |
Worst Day | -45.56% | 0.0% |
Best Month | 18.23% | 0.71% |
Worst Month | -51.26% | 0.5% |
Best Year | 10.24% | 5.69% |
Worst Year | -28.47% | 1.15% |
Avg. Drawdown | -11.32% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.4 | - |
Ulcer Index | 0.36 | 0.0 |
Serenity Index | -0.03 | - |
Avg. Up Month | 8.67% | 0.64% |