Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | 25.15% | 28.86% |
CAGR﹪ | 16.12% | 18.4% |
Sharpe | -1.96 | -3.26 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.89 | -3.15 |
Sortino | -2.47 | -3.87 |
Smart Sortino | -2.39 | -3.74 |
Sortino/√2 | -1.75 | -2.73 |
Smart Sortino/√2 | -1.69 | -2.64 |
Omega | 0.71 | 0.71 |
Max Drawdown | -22.2% | -10.4% |
Longest DD Days | 128 | 69 |
Volatility (ann.) | 25.9% | 15.61% |
R^2 | 0.3 | 0.3 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.73 | 1.77 |
Skew | -0.11 | -0.28 |
Kurtosis | 1.48 | 1.43 |
Expected Daily | 0.06% | 0.07% |
Expected Monthly | 1.19% | 1.34% |
Expected Yearly | 7.77% | 8.82% |
Kelly Criterion | 6.74% | 7.72% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.61% | -1.54% |
Expected Shortfall (cVaR) | -2.61% | -1.54% |
Max Consecutive Wins | 8 | 7 |
Max Consecutive Losses | 5 | 5 |
Gain/Pain Ratio | 0.13 | 0.22 |
Gain/Pain (1M) | 1.04 | 1.37 |
Payoff Ratio | 0.81 | 0.97 |
Profit Factor | 1.13 | 1.22 |
Common Sense Ratio | 0.94 | 1.1 |
CPC Index | 0.53 | 0.65 |
Tail Ratio | 0.83 | 0.9 |
Outlier Win Ratio | 2.82 | 4.17 |
Outlier Loss Ratio | 2.27 | 4.34 |
MTD | -4.78% | -2.77% |
3M | -14.67% | -6.4% |
6M | -10.62% | -1.57% |
YTD | -16.19% | -8.04% |
1Y | 1.27% | 13.29% |
3Y (ann.) | 16.12% | 18.4% |
5Y (ann.) | 16.12% | 18.4% |
10Y (ann.) | 16.12% | 18.4% |
All-time (ann.) | 16.12% | 18.4% |
Best Day | 6.51% | 4.21% |
Worst Day | -5.82% | -3.53% |
Best Month | 12.06% | 10.95% |
Worst Month | -11.98% | -5.42% |
Best Year | 28.38% | 29.88% |
Worst Year | -16.19% | -8.04% |
Avg. Drawdown | -4.37% | -1.49% |
Avg. Drawdown Days | 20 | 8 |
Recovery Factor | 1.13 | 2.78 |
Ulcer Index | 0.06 | 0.03 |
Serenity Index | -1.58 | -3.83 |
Avg. Up Month | 4.77% | 4.24% |
Avg. Down Month | -5.25% | -3.86% |
Win Days | 58.29% | 54.62% |
Win Month | 63.16% | 63.16% |
Win Quarter | 57.14% | 71.43% |
Win Year | 66.67% | 66.67% |
Beta | 0.92 | - |
Alpha | 0.02 | - |
Correlation | 55.17% | - |
Treynor Ratio | -81.76% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 7.88 | 16.32 | 2.07 | + |
2021 | 29.88 | 28.38 | 0.95 | - |
2022 | -8.04 | -16.19 | 2.02 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-22 | 2022-02-25 | -22.20 | 95 |
2021-02-17 | 2021-06-25 | -14.27 | 128 |
2021-09-07 | 2021-10-26 | -9.42 | 49 |
2020-09-03 | 2020-10-12 | -9.32 | 39 |
2020-10-14 | 2020-11-06 | -9.05 | 23 |
2020-11-10 | 2020-11-27 | -5.82 | 17 |
2021-01-21 | 2021-02-08 | -4.98 | 18 |
2021-07-07 | 2021-07-23 | -3.67 | 16 |
2021-08-06 | 2021-08-27 | -3.53 | 21 |
2021-07-27 | 2021-07-29 | -2.58 | 2 |