Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 86.0% | 100.0% |
Cumulative Return | -35.09% | 25.56% |
CAGR﹪ | -11.18% | 6.44% |
Sharpe | -0.28 | 25.42 |
Prob. Sharpe Ratio | 34.85% | 100.0% |
Smart Sharpe | -0.28 | 25.24 |
Sortino | -0.3 | - |
Smart Sortino | -0.3 | - |
Sortino/√2 | -0.21 | - |
Smart Sortino/√2 | -0.21 | - |
Omega | 0.9 | 0.9 |
Max Drawdown | -47.86% | - |
Longest DD Days | - | - |
Volatility (ann.) | 45.97% | 0.54% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.04 | -0.04 |
Calmar | -0.23 | - |
Skew | -9.97 | 2.61 |
Kurtosis | 130.76 | 11.59 |
Expected Daily | -0.1% | 0.05% |
Expected Monthly | -1.95% | 1.04% |
Expected Yearly | -8.28% | 4.66% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.81% | -0.0% |
Expected Shortfall (cVaR) | -4.81% | -0.0% |
Max Consecutive Wins | 5 | 415 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | -0.1 | - |
Gain/Pain (1M) | -0.27 | - |
Payoff Ratio | - | - |
Profit Factor | 0.9 | - |
Common Sense Ratio | 0.93 | - |
CPC Index | - | - |
Tail Ratio | 1.02 | 3.59 |
Outlier Win Ratio | 3.14 | 42.38 |
Outlier Loss Ratio | 1.21 | - |
MTD | 0.52% | 0.15% |
3M | 5.08% | 4.96% |
6M | 8.83% | 10.61% |
YTD | 8.83% | 10.61% |
1Y | -23.97% | 16.6% |
3Y (ann.) | -2.35% | 6.95% |
5Y (ann.) | -11.18% | 6.44% |
10Y (ann.) | -11.18% | 6.44% |
All-time (ann.) | -11.18% | 6.44% |
Best Day | 9.32% | 0.24% |
Worst Day | -40.61% | 0.0% |
Best Month | 15.63% | 1.83% |
Worst Month | -35.03% | 0.15% |
Best Year | 8.83% | 10.61% |
Worst Year | -30.14% | 1.21% |
Avg. Drawdown | -9.06% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.73 | - |
Ulcer Index | 0.36 | 0.0 |
Serenity Index | -0.05 | - |
Avg. Up Month | 3.11% | 1.09% |
Avg. Down Month | - | - |
Win Days | 59.15% | 100.0% |
Win Month | 81.82% | 100.0% |
Win Quarter | 77.78% | 100.0% |
Win Year | 60.0% | 100.0% |
Beta | -13.01 | - |
Alpha | 1.67 | - |
Correlation | -15.36% | - |
Treynor Ratio | 2.7% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.21 | 1.03 | 0.85 | - |
2022 | 5.01 | -20.77 | -4.14 | - |
2023 | 1.32 | 6.65 | 5.05 | + |
2024 | 5.41 | -30.14 | -5.57 | - |
2025 | 10.61 | 8.83 | 0.83 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2025-07-02 | -47.86 | 1223 |
2022-01-27 | 2022-02-24 | -5.90 | 28 |
2021-11-23 | 2022-01-05 | -3.92 | 43 |
2022-01-06 | 2022-01-24 | -3.16 | 18 |
2021-11-17 | 2021-11-19 | -1.91 | 2 |
2021-11-11 | 2021-11-12 | -0.65 | 1 |
2021-11-15 | 2021-11-16 | -0.04 | 1 |