Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 98.0% |
Cumulative Return | -15.56% | -25.7% |
CAGR﹪ | -31.84% | -49.01% |
Sharpe | -10.18 | -10.72 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.0 | -9.47 |
Sortino | -9.13 | -9.45 |
Smart Sortino | -8.07 | -8.35 |
Sortino/√2 | -6.45 | -6.68 |
Smart Sortino/√2 | -5.7 | -5.9 |
Omega | 0.18 | 0.18 |
Max Drawdown | -22.21% | -28.71% |
Longest DD Days | 156 | 154 |
Volatility (ann.) | 23.96% | 25.41% |
R^2 | 0.37 | 0.37 |
Information Ratio | 0.08 | 0.08 |
Calmar | -1.43 | -1.71 |
Skew | -0.06 | 0.07 |
Kurtosis | 0.38 | 0.67 |
Expected Daily | -0.15% | -0.26% |
Expected Monthly | -2.78% | -4.83% |
Expected Yearly | -8.11% | -13.8% |
Kelly Criterion | -17.09% | -20.63% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.62% | -2.89% |
Expected Shortfall (cVaR) | -2.62% | -2.89% |
Max Consecutive Wins | 6 | 5 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.21 | -0.34 |
Gain/Pain (1M) | -0.84 | -1.0 |
Payoff Ratio | 0.69 | 0.81 |
Profit Factor | 0.79 | 0.66 |
Common Sense Ratio | 0.74 | 0.48 |
CPC Index | 0.28 | 0.25 |
Tail Ratio | 0.94 | 0.72 |
Outlier Win Ratio | 3.48 | 3.27 |
Outlier Loss Ratio | 2.59 | 2.54 |
MTD | 2.18% | -3.54% |
3M | -7.74% | -16.79% |
6M | -15.56% | -25.7% |
YTD | -7.72% | -17.29% |
1Y | -15.56% | -25.7% |
3Y (ann.) | -31.84% | -49.01% |
5Y (ann.) | -31.84% | -49.01% |
10Y (ann.) | -31.84% | -49.01% |
All-time (ann.) | -31.84% | -49.01% |
Best Day | 3.98% | 5.08% |
Worst Day | -4.66% | -4.41% |
Best Month | 2.18% | -0.8% |
Worst Month | -9.69% | -14.26% |
Best Year | -7.72% | -10.17% |
Worst Year | -8.49% | -17.29% |
Avg. Drawdown | -22.21% | -14.67% |
Avg. Drawdown Days | 156 | 78 |
Recovery Factor | -0.7 | -0.9 |
Ulcer Index | 0.14 | 0.15 |
Serenity Index | -3.71 | -3.02 |
Avg. Up Month | - | - |
Avg. Down Month | -4.63% | -5.31% |
Win Days | 52.25% | 45.87% |
Win Month | 33.33% | 0.0% |
Win Quarter | 0.0% | 0.0% |
Win Year | 0.0% | 0.0% |
Beta | 0.57 | - |
Alpha | 0.01 | - |
Correlation | 60.97% | - |
Treynor Ratio | -1244.58% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -10.17 | -8.49 | 0.83 | + |
2022 | -17.29 | -7.72 | 0.45 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-22 | 2022-02-25 | -22.21 | 156 |