Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -16.2% | 13.85% |
CAGR﹪ | -32.53% | 33.48% |
Sharpe | -1.52 | 1.6 |
Prob. Sharpe Ratio | 15.3% | 89.37% |
Smart Sharpe | -1.34 | 1.42 |
Sortino | -1.97 | 3.37 |
Smart Sortino | -1.74 | 2.98 |
Sortino/√2 | -1.39 | 2.38 |
Smart Sortino/√2 | -1.23 | 2.11 |
Omega | 0.78 | 0.78 |
Max Drawdown | -22.21% | -5.89% |
Longest DD Days | 156 | 59 |
Volatility (ann.) | 23.68% | 18.84% |
R^2 | 0.12 | 0.12 |
Information Ratio | -0.17 | -0.17 |
Calmar | -1.46 | 5.68 |
Skew | -0.05 | 2.94 |
Kurtosis | 0.45 | 18.24 |
Expected Daily | -0.15% | 0.11% |
Expected Monthly | -2.9% | 2.19% |
Expected Yearly | -8.46% | 6.7% |
Kelly Criterion | -18.47% | 16.42% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.6% | -1.83% |
Expected Shortfall (cVaR) | -2.6% | -1.83% |
Max Consecutive Wins | 6 | 3 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.22 | 0.38 |
Gain/Pain (1M) | -0.85 | 5.2 |
Payoff Ratio | 0.69 | 1.86 |
Profit Factor | 0.78 | 1.38 |
Common Sense Ratio | 0.74 | 2.22 |
CPC Index | 0.28 | 1.17 |
Tail Ratio | 0.95 | 1.61 |
Outlier Win Ratio | 3.39 | 3.53 |
Outlier Loss Ratio | 1.96 | 4.62 |
MTD | 2.18% | 7.35% |
3M | -7.74% | 10.68% |
6M | -16.2% | 13.85% |
YTD | -7.72% | 11.14% |
1Y | -16.2% | 13.85% |
3Y (ann.) | -32.53% | 33.48% |
5Y (ann.) | -32.53% | 33.48% |
10Y (ann.) | -32.53% | 33.48% |
All-time (ann.) | -32.53% | 33.48% |
Best Day | 3.98% | 8.19% |
Worst Day | -4.66% | -2.64% |
Best Month | 2.18% | 7.35% |
Worst Month | -9.69% | -2.45% |
Best Year | -7.72% | 11.14% |
Worst Year | -9.19% | 2.44% |
Avg. Drawdown | -11.65% | -2.21% |
Avg. Drawdown Days | 81 | 13 |
Recovery Factor | -0.73 | 2.35 |
Ulcer Index | 0.13 | 0.03 |
Serenity Index | -0.08 | 1.42 |
Avg. Up Month | 1.16% | 5.87% |
Avg. Down Month | -4.69% | -1.34% |
Win Days | 51.75% | 45.61% |
Win Month | 33.33% | 66.67% |
Win Quarter | 0.0% | 66.67% |
Win Year | 0.0% | 100.0% |
Beta | 0.43 | - |
Alpha | -0.49 | - |
Correlation | 34.34% | - |
Treynor Ratio | -37.54% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.44 | -9.19 | -3.77 | - |
2022 | 11.14 | -7.72 | -0.69 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-22 | 2022-02-25 | -22.21 | 156 |
2021-09-15 | 2021-09-21 | -1.09 | 6 |