Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -16.2% | -37.84% |
CAGR﹪ | -32.53% | -65.29% |
Sharpe | -10.34 | -4.38 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -9.14 | -3.87 |
Sortino | -9.22 | -4.73 |
Smart Sortino | -8.15 | -4.19 |
Sortino/√2 | -6.52 | -3.35 |
Smart Sortino/√2 | -5.76 | -2.96 |
Omega | 0.17 | 0.17 |
Max Drawdown | -22.21% | -51.26% |
Longest DD Days | 156 | 127 |
Volatility (ann.) | 23.68% | 65.83% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.04 | 0.04 |
Calmar | -1.46 | -1.27 |
Skew | -0.05 | -3.59 |
Kurtosis | 0.45 | 39.69 |
Expected Daily | -0.15% | -0.41% |
Expected Monthly | -2.9% | -7.62% |
Expected Yearly | -8.46% | -21.16% |
Kelly Criterion | -15.52% | 10.07% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.6% | -7.14% |
Expected Shortfall (cVaR) | -2.6% | -7.14% |
Max Consecutive Wins | 6 | 6 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | -0.22 | -0.29 |
Gain/Pain (1M) | -0.85 | -0.92 |
Payoff Ratio | 0.72 | 1.41 |
Profit Factor | 0.78 | 0.71 |
Common Sense Ratio | 0.74 | 0.54 |
CPC Index | 0.29 | 0.47 |
Tail Ratio | 0.95 | 0.76 |
Outlier Win Ratio | 3.59 | 2.24 |
Outlier Loss Ratio | 4.91 | 3.28 |
MTD | 2.18% | -30.02% |
3M | -7.74% | -36.5% |
6M | -16.2% | -37.84% |
YTD | -7.72% | -34.42% |
1Y | -16.2% | -37.84% |
3Y (ann.) | -32.53% | -65.29% |
5Y (ann.) | -32.53% | -65.29% |
10Y (ann.) | -32.53% | -65.29% |
All-time (ann.) | -32.53% | -65.29% |
Best Day | 3.98% | 20.04% |
Worst Day | -4.66% | -33.28% |
Best Month | 2.18% | 1.56% |
Worst Month | -9.69% | -30.02% |
Best Year | -7.72% | -5.2% |
Worst Year | -9.19% | -34.42% |
Avg. Drawdown | -11.65% | -9.44% |
Avg. Drawdown Days | 81 | 25 |
Recovery Factor | -0.73 | -0.74 |
Ulcer Index | 0.13 | 0.13 |
Serenity Index | -3.71 | -10.06 |
Avg. Up Month | - | - |
Avg. Down Month | -4.93% | -3.98% |
Win Days | 51.75% | 47.37% |
Win Month | 33.33% | 33.33% |
Win Quarter | 0.0% | 33.33% |
Win Year | 0.0% | 0.0% |
Beta | -0.05 | - |
Alpha | -0.4 | - |
Correlation | -14.63% | - |
Treynor Ratio | 13608.91% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -5.20 | -9.19 | 1.77 | - |
2022 | -34.42 | -7.72 | 0.22 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-22 | 2022-02-25 | -22.21 | 156 |
2021-09-15 | 2021-09-21 | -1.09 | 6 |