Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 90.0% | 11.0% |
Cumulative Return | -17.94% | -2.74% |
CAGR﹪ | -7.99% | -1.16% |
Sharpe | -8.54 | -7.79 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.12 | -6.49 |
Sortino | -8.29 | -8.54 |
Smart Sortino | -6.91 | -7.12 |
Sortino/√2 | -5.86 | -6.04 |
Smart Sortino/√2 | -4.89 | -5.03 |
Omega | 0.25 | 0.25 |
Max Drawdown | -27.75% | -22.35% |
Longest DD Days | 866 | 847 |
Volatility (ann.) | 26.1% | 26.68% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.03 | -0.03 |
Calmar | -0.29 | -0.05 |
Skew | 0.15 | 0.59 |
Kurtosis | 0.89 | 19.41 |
Expected Daily | -0.07% | -0.01% |
Expected Monthly | -0.68% | -0.1% |
Expected Yearly | -4.82% | -0.69% |
Kelly Criterion | -59.18% | 19.67% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.76% | -2.76% |
Expected Shortfall (cVaR) | -2.76% | -2.76% |
Max Consecutive Wins | 5 | 3 |
Max Consecutive Losses | 6 | 3 |
Gain/Pain Ratio | -0.09 | 0.02 |
Gain/Pain (1M) | -0.39 | 0.02 |
Payoff Ratio | 0.47 | 1.81 |
Profit Factor | 0.91 | 1.02 |
Common Sense Ratio | 0.83 | 0.0 |
CPC Index | 0.21 | 0.89 |
Tail Ratio | 0.91 | 0.0 |
Outlier Win Ratio | 5.35 | 24.36 |
Outlier Loss Ratio | 3.75 | 1.27 |
MTD | 0.0% | 4.31% |
3M | 0.0% | 2.03% |
6M | 0.0% | 1.61% |
YTD | 0.0% | 2.03% |
1Y | 0.0% | 15.42% |
3Y (ann.) | -7.99% | -1.16% |
5Y (ann.) | -7.99% | -1.16% |
10Y (ann.) | -7.99% | -1.16% |
All-time (ann.) | -7.99% | -1.16% |
Best Day | 5.4% | 11.09% |
Worst Day | -5.32% | -9.09% |
Best Month | 8.24% | 11.09% |
Worst Month | -9.69% | -9.09% |
Best Year | 2.22% | 12.2% |
Worst Year | -12.72% | -9.47% |
Avg. Drawdown | -27.75% | -22.35% |
Avg. Drawdown Days | 866 | 847 |
Recovery Factor | -0.65 | -0.12 |
Ulcer Index | 0.17 | 0.15 |
Serenity Index | -2.67 | -3.34 |
Avg. Up Month | 0.11% | 1.5% |
Avg. Down Month | -4.01% | -4.7% |
Win Days | 48.81% | 48.28% |
Win Month | 42.86% | 46.43% |
Win Quarter | 33.33% | 30.0% |
Win Year | 33.33% | 50.0% |
Beta | 0.06 | - |
Alpha | -0.14 | - |
Correlation | 5.91% | - |
Treynor Ratio | -12405.99% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -6.16 | -8.03 | 1.30 | - |
2022 | -9.47 | -12.72 | 1.34 | - |
2023 | 12.20 | 2.22 | 0.18 | - |
2024 | 2.03 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-12 | 2024-03-27 | -27.75 | 866 |