Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 0.61% | 13.85% |
CAGR﹪ | 1.36% | 33.48% |
Sharpe | 0.18 | 1.6 |
Prob. Sharpe Ratio | 54.91% | 89.37% |
Smart Sharpe | 0.18 | 1.57 |
Sortino | 0.27 | 3.37 |
Smart Sortino | 0.26 | 3.29 |
Sortino/√2 | 0.19 | 2.38 |
Smart Sortino/√2 | 0.19 | 2.33 |
Omega | 1.03 | 1.03 |
Max Drawdown | -16.53% | -5.89% |
Longest DD Days | 94 | 59 |
Volatility (ann.) | 27.16% | 18.84% |
R^2 | 0.05 | 0.05 |
Information Ratio | -0.05 | -0.05 |
Calmar | 0.08 | 5.68 |
Skew | 0.43 | 2.94 |
Kurtosis | 2.21 | 18.24 |
Expected Daily | 0.01% | 0.11% |
Expected Monthly | 0.1% | 2.19% |
Expected Yearly | 0.3% | 6.7% |
Kelly Criterion | -1.96% | 14.98% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.79% | -1.83% |
Expected Shortfall (cVaR) | -2.79% | -1.83% |
Max Consecutive Wins | 7 | 3 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.03 | 0.38 |
Gain/Pain (1M) | 0.16 | 5.2 |
Payoff Ratio | 1.0 | 1.78 |
Profit Factor | 1.03 | 1.38 |
Common Sense Ratio | 0.82 | 2.22 |
CPC Index | 0.51 | 1.12 |
Tail Ratio | 0.79 | 1.61 |
Outlier Win Ratio | 3.38 | 4.58 |
Outlier Loss Ratio | 2.39 | 5.0 |
MTD | 2.01% | 7.35% |
3M | -5.75% | 10.68% |
6M | 0.61% | 13.85% |
YTD | -7.19% | 11.14% |
1Y | 0.61% | 13.85% |
3Y (ann.) | 1.36% | 33.48% |
5Y (ann.) | 1.36% | 33.48% |
10Y (ann.) | 1.36% | 33.48% |
All-time (ann.) | 1.36% | 33.48% |
Best Day | 6.34% | 8.19% |
Worst Day | -3.98% | -2.64% |
Best Month | 9.07% | 7.35% |
Worst Month | -9.02% | -2.45% |
Best Year | 8.4% | 11.14% |
Worst Year | -7.19% | 2.44% |
Avg. Drawdown | -5.42% | -2.21% |
Avg. Drawdown Days | 29 | 13 |
Recovery Factor | 0.04 | 2.35 |
Ulcer Index | 0.08 | 0.03 |
Serenity Index | 0.01 | 1.42 |
Avg. Up Month | 4.05% | 4.19% |
Avg. Down Month | -5.33% | -0.23% |
Win Days | 49.12% | 45.61% |
Win Month | 66.67% | 66.67% |
Win Quarter | 33.33% | 66.67% |
Win Year | 50.0% | 100.0% |
Beta | 0.32 | - |
Alpha | -0.05 | - |
Correlation | 22.28% | - |
Treynor Ratio | 1.9% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.44 | 8.40 | 3.44 | + |
2022 | 11.14 | -7.19 | -0.65 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-02-25 | -16.53 | 94 |
2021-09-17 | 2021-11-02 | -8.47 | 46 |
2021-11-10 | 2021-11-12 | -1.03 | 2 |
2021-09-15 | 2021-09-16 | -0.75 | 1 |
2021-11-17 | 2021-11-18 | -0.33 | 1 |