Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -26.91% | 13.23% |
CAGR﹪ | -15.57% | 6.94% |
Sharpe | -0.17 | 13.09 |
Prob. Sharpe Ratio | 41.66% | 99.11% |
Smart Sharpe | -0.17 | 12.76 |
Sortino | -0.2 | - |
Smart Sortino | -0.2 | - |
Sortino/√2 | -0.14 | - |
Smart Sortino/√2 | -0.14 | - |
Omega | 0.96 | 0.96 |
Max Drawdown | -62.39% | - |
Longest DD Days | - | - |
Volatility (ann.) | 48.51% | 0.67% |
R^2 | 0.47 | 0.47 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.25 | - |
Skew | -6.17 | 18.07 |
Kurtosis | 79.95 | 335.92 |
Expected Daily | -0.09% | 0.03% |
Expected Monthly | -1.64% | 0.66% |
Expected Yearly | -9.92% | 4.23% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.06% | -0.03% |
Expected Shortfall (cVaR) | -5.06% | -0.03% |
Max Consecutive Wins | 11 | 355 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | -0.04 | - |
Gain/Pain (1M) | -0.11 | - |
Payoff Ratio | - | - |
Profit Factor | 0.96 | - |
Common Sense Ratio | 0.95 | - |
CPC Index | - | - |
Tail Ratio | 0.99 | 2.02 |
Outlier Win Ratio | 1.76 | 80.63 |
Outlier Loss Ratio | 1.41 | - |
MTD | -6.54% | 0.81% |
3M | 12.08% | 2.52% |
6M | 32.52% | 3.63% |
YTD | 48.43% | 4.99% |
1Y | 60.25% | 7.14% |
3Y (ann.) | -15.57% | 6.94% |
5Y (ann.) | -15.57% | 6.94% |
10Y (ann.) | -15.57% | 6.94% |
All-time (ann.) | -15.57% | 6.94% |
Best Day | 9.64% | 0.82% |
Worst Day | -39.7% | 0.0% |
Best Month | 29.6% | 0.82% |
Worst Month | -39.7% | 0.55% |
Best Year | 48.43% | 6.57% |
Worst Year | -46.24% | 1.2% |
Avg. Drawdown | -62.39% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.43 | - |
Ulcer Index | 0.42 | 0.0 |
Serenity Index | -0.03 | - |
Avg. Up Month | 11.17% | 0.66% |
Avg. Down Month | - | - |
Win Days | 51.87% | 100.0% |
Win Month | 47.37% | 100.0% |
Win Quarter | 62.5% | 100.0% |
Win Year | 33.33% | 100.0% |
Beta | -49.32 | - |
Alpha | 4.26 | - |
Correlation | -68.35% | - |
Treynor Ratio | 0.55% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.20 | -8.40 | -7.02 | - |
2022 | 6.57 | -46.24 | -7.04 | - |
2023 | 4.99 | 48.43 | 9.70 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-16 | 2023-09-22 | -62.39 | 675 |