Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 86.0% | 79.0% |
Cumulative Return | -18.73% | -17.45% |
CAGR﹪ | -15.71% | -14.62% |
Sharpe | -13.1 | -16.68 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.3 | -11.84 |
Sortino | -10.43 | -11.56 |
Smart Sortino | -7.4 | -8.21 |
Sortino/√2 | -7.38 | -8.18 |
Smart Sortino/√2 | -5.24 | -5.8 |
Omega | 0.05 | 0.05 |
Max Drawdown | -26.14% | -24.56% |
Longest DD Days | 436 | 414 |
Volatility (ann.) | 17.52% | 13.7% |
R^2 | 0.4 | 0.4 |
Information Ratio | -0.0 | -0.0 |
Calmar | -0.6 | -0.6 |
Skew | -5.06 | -9.69 |
Kurtosis | 54.5 | 127.63 |
Expected Daily | -0.09% | -0.08% |
Expected Monthly | -1.71% | -1.59% |
Expected Yearly | -6.68% | -6.19% |
Kelly Criterion | -38.98% | -53.4% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.9% | -1.5% |
Expected Shortfall (cVaR) | -1.9% | -1.5% |
Max Consecutive Wins | 7 | 7 |
Max Consecutive Losses | 6 | 8 |
Gain/Pain Ratio | -0.29 | -0.38 |
Gain/Pain (1M) | -0.61 | -0.61 |
Payoff Ratio | 0.68 | 0.57 |
Profit Factor | 0.71 | 0.62 |
Common Sense Ratio | 0.8 | 0.42 |
CPC Index | 0.21 | 0.16 |
Tail Ratio | 1.12 | 0.68 |
Outlier Win Ratio | 3.88 | 6.91 |
Outlier Loss Ratio | 2.74 | 3.49 |
MTD | -1.76% | -0.75% |
3M | 1.3% | 3.0% |
6M | -0.26% | 1.67% |
YTD | 1.43% | 1.8% |
1Y | -12.44% | -11.53% |
3Y (ann.) | -15.71% | -14.62% |
5Y (ann.) | -15.71% | -14.62% |
10Y (ann.) | -15.71% | -14.62% |
All-time (ann.) | -15.71% | -14.62% |
Best Day | 5.58% | 2.37% |
Worst Day | -11.15% | -11.39% |
Best Month | 6.9% | 3.63% |
Worst Month | -12.41% | -14.12% |
Best Year | 1.43% | 1.8% |
Worst Year | -19.29% | -18.91% |
Avg. Drawdown | -26.14% | -12.49% |
Avg. Drawdown Days | 436 | 216 |
Recovery Factor | -0.72 | -0.71 |
Ulcer Index | 0.18 | 0.18 |
Serenity Index | -1.45 | -1.21 |
Avg. Up Month | 2.43% | 2.24% |
Avg. Down Month | -5.97% | -5.87% |
Win Days | 43.5% | 44.57% |
Win Month | 41.67% | 54.55% |
Win Quarter | 33.33% | 40.0% |
Win Year | 33.33% | 50.0% |
Beta | 0.81 | - |
Alpha | -0.05 | - |
Correlation | 63.26% | - |
Treynor Ratio | -888.24% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.00 | -0.73 | -inf | - |
2022 | -18.91 | -19.29 | 1.02 | - |
2023 | 1.80 | 1.43 | 0.79 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-12-15 | 2023-02-24 | -26.14 | 436 |