Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 91.0% | 10.0% |
Cumulative Return | -21.32% | -36.47% |
CAGR﹪ | -8.3% | -15.12% |
Sharpe | -7.56 | -5.35 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.47 | -5.29 |
Sortino | -7.75 | -6.4 |
Smart Sortino | -7.67 | -6.32 |
Sortino/√2 | -5.48 | -4.52 |
Smart Sortino/√2 | -5.42 | -4.47 |
Omega | 0.29 | 0.29 |
Max Drawdown | -36.07% | -42.58% |
Longest DD Days | 892 | 876 |
Volatility (ann.) | 29.29% | 43.25% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.01 | 0.01 |
Calmar | -0.23 | -0.36 |
Skew | 0.3 | 0.31 |
Kurtosis | 1.72 | 18.19 |
Expected Daily | -0.07% | -0.13% |
Expected Monthly | -0.7% | -1.33% |
Expected Yearly | -5.82% | -10.72% |
Kelly Criterion | 20.34% | 36.77% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.08% | -4.57% |
Expected Shortfall (cVaR) | -3.08% | -4.57% |
Max Consecutive Wins | 8 | 3 |
Max Consecutive Losses | 10 | 3 |
Gain/Pain Ratio | -0.07 | -0.22 |
Gain/Pain (1M) | -0.28 | -0.22 |
Payoff Ratio | 1.93 | 13.36 |
Profit Factor | 0.93 | 0.78 |
Common Sense Ratio | 0.99 | 0.0 |
CPC Index | 0.85 | 4.28 |
Tail Ratio | 1.06 | 0.0 |
Outlier Win Ratio | 7.04 | 26.23 |
Outlier Loss Ratio | 5.44 | 1.1 |
MTD | 0.0% | -5.97% |
3M | 0.0% | -15.99% |
6M | 0.0% | -10.27% |
YTD | 0.0% | -10.35% |
1Y | 0.0% | -16.33% |
3Y (ann.) | -8.3% | -15.12% |
5Y (ann.) | -8.3% | -15.12% |
10Y (ann.) | -8.3% | -15.12% |
All-time (ann.) | -8.3% | -15.12% |
Best Day | 7.36% | 17.13% |
Worst Day | -7.25% | -14.13% |
Best Month | 15.15% | 17.13% |
Worst Month | -14.89% | -14.13% |
Best Year | 4.83% | -1.62% |
Worst Year | -22.39% | -18.88% |
Avg. Drawdown | -7.0% | -24.82% |
Avg. Drawdown Days | 124 | 484 |
Recovery Factor | -0.59 | -0.86 |
Ulcer Index | 0.24 | 0.23 |
Serenity Index | -1.38 | -2.17 |
Avg. Up Month | 2.0% | 11.91% |
Avg. Down Month | -8.02% | -7.84% |
Win Days | 47.55% | 41.18% |
Win Month | 41.18% | 39.39% |
Win Quarter | 28.57% | 16.67% |
Win Year | 33.33% | 0.0% |
Beta | 0.03 | - |
Alpha | -0.12 | - |
Correlation | 4.2% | - |
Treynor Ratio | -25388.53% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -1.62 | -3.30 | 2.04 | - |
2022 | -18.88 | -22.39 | 1.19 | - |
2023 | -11.21 | 4.83 | -0.43 | + |
2024 | -10.35 | 0.00 | -0.00 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-15 | 2024-04-25 | -36.07 | 892 |
2021-08-11 | 2021-10-19 | -9.74 | 69 |
2021-07-22 | 2021-08-02 | -5.32 | 11 |
2021-11-02 | 2021-11-08 | -1.92 | 6 |
2021-10-20 | 2021-10-25 | -1.14 | 5 |
2021-11-09 | 2021-11-12 | -0.86 | 3 |
2021-08-03 | 2021-08-05 | -0.85 | 2 |
2021-08-06 | 2021-08-09 | -0.11 | 3 |