Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 97.0% |
Cumulative Return | -29.06% | -30.87% |
CAGR﹪ | -13.93% | -14.9% |
Sharpe | -5.32 | -7.26 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.9 | -6.69 |
Sortino | -5.58 | -7.37 |
Smart Sortino | -5.14 | -6.78 |
Sortino/√2 | -3.95 | -5.21 |
Smart Sortino/√2 | -3.63 | -4.8 |
Omega | 0.36 | 0.36 |
Max Drawdown | -52.76% | -42.65% |
Longest DD Days | 602 | 723 |
Volatility (ann.) | 41.09% | 30.87% |
R^2 | 0.1 | 0.1 |
Information Ratio | 0.01 | 0.01 |
Calmar | -0.26 | -0.35 |
Skew | -3.63 | -0.07 |
Kurtosis | 42.49 | 0.97 |
Expected Daily | -0.07% | -0.08% |
Expected Monthly | -1.42% | -1.53% |
Expected Yearly | -10.81% | -11.58% |
Kelly Criterion | 1.66% | -6.03% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.3% | -3.26% |
Expected Shortfall (cVaR) | -4.3% | -3.26% |
Max Consecutive Wins | 10 | 8 |
Max Consecutive Losses | 7 | 9 |
Gain/Pain Ratio | -0.05 | -0.08 |
Gain/Pain (1M) | -0.13 | -0.28 |
Payoff Ratio | 1.18 | 0.91 |
Profit Factor | 0.95 | 0.92 |
Common Sense Ratio | 1.07 | 0.87 |
CPC Index | 0.53 | 0.41 |
Tail Ratio | 1.12 | 0.95 |
Outlier Win Ratio | 3.18 | 3.89 |
Outlier Loss Ratio | 3.23 | 3.32 |
MTD | -13.64% | 2.45% |
3M | -39.34% | -27.85% |
6M | -11.66% | -12.8% |
YTD | -0.72% | -8.33% |
1Y | 8.82% | -14.11% |
3Y (ann.) | -13.93% | -14.9% |
5Y (ann.) | -13.93% | -14.9% |
10Y (ann.) | -13.93% | -14.9% |
All-time (ann.) | -13.93% | -14.9% |
Best Day | 9.92% | 6.66% |
Worst Day | -30.34% | -7.61% |
Best Month | 36.85% | 14.8% |
Worst Month | -40.51% | -15.87% |
Best Year | -0.72% | -3.42% |
Worst Year | -26.5% | -21.92% |
Avg. Drawdown | -13.39% | -8.81% |
Avg. Drawdown Days | 91 | 117 |
Recovery Factor | -0.55 | -0.72 |
Ulcer Index | 0.28 | 0.25 |
Serenity Index | -1.41 | -1.34 |
Avg. Up Month | 11.04% | 7.64% |
Avg. Down Month | -13.84% | -9.46% |
Win Days | 46.8% | 49.44% |
Win Month | 58.33% | 45.83% |
Win Quarter | 50.0% | 30.0% |
Win Year | 0.0% | 0.0% |
Beta | 0.43 | - |
Alpha | -0.03 | - |
Correlation | 32.34% | - |
Treynor Ratio | -1693.38% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -3.42 | -2.77 | 0.81 | + |
2022 | -21.92 | -26.50 | 1.21 | - |
2023 | -8.33 | -0.72 | 0.09 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2023-07-18 | -52.76 | 602 |
2023-08-02 | 2023-11-02 | -39.34 | 92 |
2021-08-11 | 2021-10-29 | -11.82 | 79 |
2021-07-22 | 2021-08-09 | -5.75 | 18 |
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 |