Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -24.74% | 5.11% |
CAGR% | -23.1% | 4.71% |
Sharpe | -0.45 | 11.88 |
Sortino | -0.54 | 28.48 |
Max Drawdown | -52.76% | -1.1% |
Longest DD Days | 261 | 62 |
Volatility (ann.) | 48.61% | 0.52% |
R^2 | 0.0 | 0.0 |
Calmar | -0.44 | 4.3 |
Skew | -4.47 | -0.51 |
Kurtosis | 46.58 | 0.43 |
Expected Daily % | -0.14% | 0.02% |
Expected Monthly % | -2.55% | 0.45% |
Expected Yearly % | -13.25% | 2.52% |
Kelly Criterion | -74.09% | 61.51% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.12% | -0.03% |
Expected Shortfall (cVaR) | -14.48% | -14.48% |
Payoff Ratio | 0.44 | 1.34 |
Profit Factor | 0.09 | 4.14 |
Common Sense Ratio | 0.09 | 10.7 |
CPC Index | 0.02 | 4.34 |
Tail Ratio | 1.02 | 2.58 |
Outlier Win Ratio | 1.79 | 82.99 |
Outlier Loss Ratio | 1.68 | 111.73 |
MTD | 6.81% | -0.23% |
3M | -13.04% | -1.1% |
6M | -3.53% | -0.33% |
YTD | -18.64% | 1.05% |
1Y | -24.99% | 4.75% |
3Y (ann.) | -23.1% | 4.71% |
5Y (ann.) | -23.1% | 4.71% |
10Y (ann.) | -23.1% | 4.71% |
All-time (ann.) | -23.1% | 4.71% |
Best Day | 9.92% | 0.14% |
Worst Day | -30.34% | -0.1% |
Best Month | 36.85% | 1.17% |
Worst Month | -40.51% | -0.52% |
Best Year | -7.49% | 4.01% |
Worst Year | -18.64% | 1.05% |
Avg. Drawdown | -11.14% | -0.6% |
Avg. Drawdown Days | 55 | 32 |
Recovery Factor | -0.47 | 4.66 |
Ulcer Index | inf | inf |
Avg. Up Month | 4.93% | 0.85% |
Avg. Down Month | -40.51% | -0.35% |
Win Days % | 47.06% | 77.94% |
Win Month % | 54.55% | 72.73% |
Win Quarter % | 40.0% | 60.0% |
Win Year % | 0.0% | 100.0% |
Beta | 0.71 | - |
Alpha | -0.26 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 4.01 | -7.49 | -1.87 | - |
2022 | 1.05 | -18.64 | -17.72 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-08-11 | -52.76 | 261 |
2021-08-11 | 2021-10-29 | -11.82 | 79 |
2021-07-13 | 2021-08-10 | -7.76 | 28 |
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 |