Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -7.1% | 14.65% |
CAGR﹪ | -3.3% | 6.42% |
Sharpe | 0.11 | 71.31 |
Prob. Sharpe Ratio | 55.68% | - |
Smart Sharpe | 0.1 | 65.41 |
Sortino | 0.14 | - |
Smart Sortino | 0.13 | - |
Sortino/√2 | 0.1 | - |
Smart Sortino/√2 | 0.09 | - |
Omega | 1.02 | 1.02 |
Max Drawdown | -52.76% | - |
Longest DD Days | - | - |
Volatility (ann.) | 40.0% | 0.11% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.06 | - |
Skew | -3.75 | 0.97 |
Kurtosis | 48.16 | 1.62 |
Expected Daily | -0.02% | 0.03% |
Expected Monthly | -0.33% | 0.62% |
Expected Yearly | -2.43% | 4.66% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.13% | -0.02% |
Expected Shortfall (cVaR) | -4.13% | -0.02% |
Max Consecutive Wins | 10 | 436 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | 0.02 | - |
Gain/Pain (1M) | 0.07 | - |
Payoff Ratio | - | - |
Profit Factor | 1.02 | - |
Common Sense Ratio | 1.19 | - |
CPC Index | - | - |
Tail Ratio | 1.16 | 1.97 |
Outlier Win Ratio | 1.75 | 95.78 |
Outlier Loss Ratio | 1.78 | - |
MTD | -8.18% | 0.81% |
3M | 3.44% | 2.52% |
6M | 21.58% | 3.63% |
YTD | 36.64% | 4.99% |
1Y | 34.58% | 7.14% |
3Y (ann.) | -3.3% | 6.42% |
5Y (ann.) | -3.3% | 6.42% |
10Y (ann.) | -3.3% | 6.42% |
All-time (ann.) | -3.3% | 6.42% |
Best Day | 9.92% | 0.05% |
Worst Day | -30.34% | 0.0% |
Best Month | 36.85% | 0.81% |
Worst Month | -40.51% | 0.43% |
Best Year | 36.64% | 5.69% |
Worst Year | -26.5% | 3.32% |
Avg. Drawdown | -11.07% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.13 | - |
Ulcer Index | 0.28 | 0.0 |
Serenity Index | -0.01 | - |
Avg. Up Month | 9.06% | 0.62% |
Avg. Down Month | - | - |
Win Days | 46.98% | 100.0% |
Win Month | 59.09% | 100.0% |
Win Quarter | 55.56% | 100.0% |
Win Year | 33.33% | 100.0% |
Beta | -35.03 | - |
Alpha | 2.81 | - |
Correlation | -9.68% | - |
Treynor Ratio | 0.2% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 3.32 | -7.49 | -2.26 | - |
2022 | 5.69 | -26.50 | -4.65 | - |
2023 | 4.99 | 36.64 | 7.33 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2023-07-18 | -52.76 | 602 |
2023-08-02 | 2023-09-22 | -16.52 | 51 |
2021-08-11 | 2021-10-29 | -11.82 | 79 |
2021-07-13 | 2021-08-10 | -7.76 | 28 |
2023-07-20 | 2023-08-01 | -5.17 | 12 |
2021-11-15 | 2021-11-22 | -3.23 | 7 |
2021-11-09 | 2021-11-12 | -1.37 | 3 |
2021-11-05 | 2021-11-08 | -0.69 | 3 |
2021-11-02 | 2021-11-03 | -0.35 | 1 |