Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -32.5% | 12.61% |
CAGR﹪ | -15.65% | 5.28% |
Sharpe | -0.3 | 9.74 |
Prob. Sharpe Ratio | 33.81% | 100.0% |
Smart Sharpe | -0.27 | 8.96 |
Sortino | -0.37 | 52.27 |
Smart Sortino | -0.34 | 48.09 |
Sortino/√2 | -0.26 | 36.96 |
Smart Sortino/√2 | -0.24 | 34.01 |
Omega | 0.94 | 0.94 |
Max Drawdown | -52.76% | -1.25% |
Longest DD Days | 602 | 200 |
Volatility (ann.) | 40.93% | 0.66% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.03 | -0.03 |
Calmar | -0.3 | 4.2 |
Skew | -3.6 | 8.76 |
Kurtosis | 42.47 | 111.58 |
Expected Daily | -0.08% | 0.03% |
Expected Monthly | -1.62% | 0.5% |
Expected Yearly | -12.28% | 4.04% |
Kelly Criterion | -50.61% | 79.04% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.29% | -0.04% |
Expected Shortfall (cVaR) | -4.29% | -0.04% |
Max Consecutive Wins | 10 | 248 |
Max Consecutive Losses | 7 | 58 |
Gain/Pain Ratio | -0.06 | 9.41 |
Gain/Pain (1M) | -0.17 | 9.41 |
Payoff Ratio | 0.55 | 1.46 |
Profit Factor | 0.94 | 10.41 |
Common Sense Ratio | 1.06 | 24.15 |
CPC Index | 0.24 | 13.32 |
Tail Ratio | 1.12 | 2.32 |
Outlier Win Ratio | 1.72 | 91.53 |
Outlier Loss Ratio | 1.77 | 130.92 |
MTD | -13.64% | 1.11% |
3M | -39.34% | 3.11% |
6M | -11.66% | 4.48% |
YTD | -0.72% | 5.84% |
1Y | 8.82% | 7.04% |
3Y (ann.) | -15.65% | 5.28% |
5Y (ann.) | -15.65% | 5.28% |
10Y (ann.) | -15.65% | 5.28% |
All-time (ann.) | -15.65% | 5.28% |
Best Day | 9.92% | 0.55% |
Worst Day | -30.34% | -0.03% |
Best Month | 36.85% | 1.17% |
Worst Month | -40.51% | -0.52% |
Best Year | -0.72% | 5.84% |
Worst Year | -26.5% | 2.29% |
Avg. Drawdown | -13.61% | -1.25% |
Avg. Drawdown Days | 92 | 200 |
Recovery Factor | -0.62 | 10.05 |
Ulcer Index | 0.28 | 0.0 |
Serenity Index | -0.06 | 1.17 |
Avg. Up Month | 6.75% | 0.61% |
Avg. Down Month | -21.3% | -0.43% |
Win Days | 46.3% | 87.55% |
Win Month | 54.17% | 87.5% |
Win Quarter | 50.0% | 80.0% |
Win Year | 0.0% | 100.0% |
Beta | -7.49 | - |
Alpha | 0.36 | - |
Correlation | -12.05% | - |
Treynor Ratio | 4.34% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.01 | -7.49 | -1.87 | - |
2022 | 2.29 | -26.50 | -11.59 | - |
2023 | 5.84 | -0.72 | -0.12 | - |
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 |
2021-07-13 | 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 |