Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -16.25% | -39.74% |
CAGR﹪ | -13.05% | -32.92% |
Sharpe | -4.1 | -4.62 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.93 | -4.43 |
Sortino | -4.18 | -4.89 |
Smart Sortino | -4.0 | -4.68 |
Sortino/√2 | -2.96 | -3.45 |
Smart Sortino/√2 | -2.83 | -3.31 |
Omega | 0.32 | 0.32 |
Max Drawdown | -45.48% | -51.34% |
Longest DD Days | 364 | 462 |
Volatility (ann.) | 51.65% | 53.81% |
R^2 | 0.03 | 0.03 |
Information Ratio | 0.03 | 0.03 |
Calmar | -0.29 | -0.64 |
Skew | -8.52 | -3.92 |
Kurtosis | 107.75 | 47.03 |
Expected Daily | -0.08% | -0.22% |
Expected Monthly | -1.47% | -4.13% |
Expected Yearly | -5.74% | -15.53% |
Kelly Criterion | -6.69% | -0.56% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.36% | -5.73% |
Expected Shortfall (cVaR) | -5.36% | -5.73% |
Max Consecutive Wins | 5 | 7 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.01 | -0.18 |
Gain/Pain (1M) | -0.06 | -0.55 |
Payoff Ratio | 0.71 | 0.95 |
Profit Factor | 0.99 | 0.82 |
Common Sense Ratio | 1.02 | 0.61 |
CPC Index | 0.39 | 0.4 |
Tail Ratio | 1.04 | 0.75 |
Outlier Win Ratio | 3.28 | 3.16 |
Outlier Loss Ratio | 3.96 | 3.91 |
MTD | 2.91% | -0.79% |
3M | 21.94% | 3.4% |
6M | 26.12% | 5.93% |
YTD | 6.65% | 2.79% |
1Y | -18.21% | -21.24% |
3Y (ann.) | -13.05% | -32.92% |
5Y (ann.) | -13.05% | -32.92% |
10Y (ann.) | -13.05% | -32.92% |
All-time (ann.) | -13.05% | -32.92% |
Best Day | 9.32% | 20.04% |
Worst Day | -40.61% | -33.28% |
Best Month | 15.63% | 15.56% |
Worst Month | -35.03% | -30.02% |
Best Year | 6.65% | 2.79% |
Worst Year | -20.77% | -37.26% |
Avg. Drawdown | -14.61% | -51.34% |
Avg. Drawdown Days | 113 | 462 |
Recovery Factor | -0.36 | -0.77 |
Ulcer Index | 0.29 | 0.37 |
Serenity Index | -1.59 | -1.15 |
Avg. Up Month | 8.08% | 5.46% |
Avg. Down Month | -14.47% | -10.75% |
Win Days | 55.8% | 50.88% |
Win Month | 66.67% | 41.67% |
Win Quarter | 60.0% | 40.0% |
Win Year | 33.33% | 33.33% |
Beta | 0.16 | - |
Alpha | 0.03 | - |
Correlation | 16.16% | - |
Treynor Ratio | -4618.19% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -6.56 | -0.89 | 0.14 | + |
2022 | -37.26 | -20.77 | 0.56 | + |
2023 | 2.79 | 6.65 | 2.39 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2023-02-24 | -45.48 | 364 |
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 |