Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 0.3% | -37.21% |
CAGR﹪ | 0.65% | -63.18% |
Sharpe | -7.61 | -4.38 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.4 | -4.25 |
Sortino | -7.8 | -4.73 |
Smart Sortino | -7.58 | -4.6 |
Sortino/√2 | -5.51 | -3.34 |
Smart Sortino/√2 | -5.36 | -3.25 |
Omega | 0.26 | 0.26 |
Max Drawdown | -16.53% | -51.26% |
Longest DD Days | 94 | 127 |
Volatility (ann.) | 26.9% | 64.74% |
R^2 | 0.04 | 0.04 |
Information Ratio | 0.07 | 0.07 |
Calmar | 0.04 | -1.23 |
Skew | 0.42 | -3.66 |
Kurtosis | 2.25 | 41.08 |
Expected Daily | 0.0% | -0.39% |
Expected Monthly | 0.05% | -7.46% |
Expected Yearly | 0.15% | -20.76% |
Kelly Criterion | 8.22% | -15.26% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.77% | -7.0% |
Expected Shortfall (cVaR) | -2.77% | -7.0% |
Max Consecutive Wins | 7 | 6 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | 0.03 | -0.29 |
Gain/Pain (1M) | 0.14 | -0.9 |
Payoff Ratio | 1.2 | 0.81 |
Profit Factor | 1.03 | 0.71 |
Common Sense Ratio | 0.8 | 0.54 |
CPC Index | 0.61 | 0.28 |
Tail Ratio | 0.78 | 0.75 |
Outlier Win Ratio | 3.63 | 2.96 |
Outlier Loss Ratio | 5.59 | 3.39 |
MTD | 2.01% | -30.02% |
3M | -5.75% | -36.5% |
6M | 0.3% | -37.21% |
YTD | -7.19% | -34.42% |
1Y | 0.3% | -37.21% |
3Y (ann.) | 0.65% | -63.18% |
5Y (ann.) | 0.65% | -63.18% |
10Y (ann.) | 0.65% | -63.18% |
All-time (ann.) | 0.65% | -63.18% |
Best Day | 6.34% | 20.04% |
Worst Day | -3.98% | -33.28% |
Best Month | 9.07% | 2.28% |
Worst Month | -9.02% | -30.02% |
Best Year | 8.07% | -4.25% |
Worst Year | -7.19% | -34.42% |
Avg. Drawdown | -6.89% | -8.17% |
Avg. Drawdown Days | 37 | 22 |
Recovery Factor | 0.02 | -0.73 |
Ulcer Index | 0.08 | 0.13 |
Serenity Index | -10.24 | -10.18 |
Avg. Up Month | 3.85% | 1.56% |
Avg. Down Month | -9.02% | -6.29% |
Win Days | 50.0% | 48.31% |
Win Month | 66.67% | 33.33% |
Win Quarter | 33.33% | 33.33% |
Win Year | 50.0% | 0.0% |
Beta | -0.08 | - |
Alpha | -0.02 | - |
Correlation | -20.41% | - |
Treynor Ratio | 8252.27% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -4.25 | 8.07 | -1.90 | + |
2022 | -34.42 | -7.19 | 0.21 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-02-25 | -16.53 | 94 |
2021-09-13 | 2021-11-03 | -9.68 | 51 |
2021-11-10 | 2021-11-12 | -1.03 | 2 |
2021-11-17 | 2021-11-18 | -0.33 | 1 |