Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -7.1% | 9.71% |
CAGR﹪ | -3.3% | 4.31% |
Sharpe | 0.11 | 14.63 |
Prob. Sharpe Ratio | 55.68% | 100.0% |
Smart Sharpe | 0.1 | 13.42 |
Sortino | 0.14 | 42.19 |
Smart Sortino | 0.13 | 38.69 |
Sortino/√2 | 0.1 | 29.83 |
Smart Sortino/√2 | 0.09 | 27.36 |
Omega | 1.02 | 1.02 |
Max Drawdown | -52.76% | -1.25% |
Longest DD Days | 602 | 200 |
Volatility (ann.) | 40.0% | 0.37% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.0 | -0.0 |
Calmar | -0.06 | 3.43 |
Skew | -3.75 | -0.33 |
Kurtosis | 48.16 | -0.4 |
Expected Daily | -0.02% | 0.02% |
Expected Monthly | -0.33% | 0.42% |
Expected Yearly | -2.43% | 3.14% |
Kelly Criterion | -48.5% | 76.27% |
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 | 218 |
Max Consecutive Losses | 7 | 58 |
Gain/Pain Ratio | 0.02 | 7.34 |
Gain/Pain (1M) | 0.07 | 7.34 |
Payoff Ratio | 0.56 | 1.28 |
Profit Factor | 1.02 | 8.34 |
Common Sense Ratio | 1.19 | 19.36 |
CPC Index | 0.27 | 9.23 |
Tail Ratio | 1.16 | 2.32 |
Outlier Win Ratio | 1.75 | 108.08 |
Outlier Loss Ratio | 1.79 | 126.81 |
MTD | -8.18% | 0.19% |
3M | 3.44% | 1.23% |
6M | 21.58% | 1.8% |
YTD | 36.64% | 3.12% |
1Y | 34.58% | 4.52% |
3Y (ann.) | -3.3% | 4.31% |
5Y (ann.) | -3.3% | 4.31% |
10Y (ann.) | -3.3% | 4.31% |
All-time (ann.) | -3.3% | 4.31% |
Best Day | 9.92% | 0.06% |
Worst Day | -30.34% | -0.03% |
Best Month | 36.85% | 1.17% |
Worst Month | -40.51% | -0.52% |
Best Year | 36.64% | 4.01% |
Worst Year | -26.5% | 2.29% |
Avg. Drawdown | -11.07% | -1.25% |
Avg. Drawdown Days | 87 | 200 |
Recovery Factor | -0.13 | 7.74 |
Ulcer Index | 0.28 | 0.0 |
Serenity Index | -0.01 | 0.47 |
Avg. Up Month | 6.75% | 0.61% |
Avg. Down Month | -21.3% | -0.43% |
Win Days | 46.98% | 86.7% |
Win Month | 59.09% | 86.36% |
Win Quarter | 55.56% | 77.78% |
Win Year | 33.33% | 100.0% |
Beta | 7.0 | - |
Alpha | -0.33 | - |
Correlation | 6.4% | - |
Treynor Ratio | -1.01% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.01 | -7.49 | -1.87 | - |
2022 | 2.29 | -26.50 | -11.59 | - |
2023 | 3.12 | 36.64 | 11.73 | + |
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 |