Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -22.02% | -40.85% |
CAGR% | -20.88% | -39.05% |
Sharpe | -0.37 | -0.98 |
Sortino | -0.45 | -1.14 |
Max Drawdown | -52.59% | -51.09% |
Longest DD Days | 261 | 294 |
Volatility (ann.) | 48.98% | 52.68% |
R^2 | 0.02 | 0.02 |
Calmar | -0.4 | -0.77 |
Skew | -4.51 | -4.17 |
Kurtosis | 46.33 | 56.07 |
Expected Daily % | -0.13% | -0.27% |
Expected Monthly % | -2.24% | -4.66% |
Expected Yearly % | -11.7% | -23.09% |
Kelly Criterion | -5.1% | 0.13% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.15% | -5.66% |
Expected Shortfall (cVaR) | -14.43% | -14.43% |
Payoff Ratio | 0.98 | 0.98 |
Profit Factor | 0.08 | 0.24 |
Common Sense Ratio | 0.08 | 0.16 |
CPC Index | 0.04 | 0.12 |
Tail Ratio | 1.04 | 0.67 |
Outlier Win Ratio | 2.78 | 3.86 |
Outlier Loss Ratio | 3.76 | 3.89 |
MTD | 6.79% | -3.63% |
3M | -12.93% | -12.33% |
6M | -3.44% | -38.88% |
YTD | -18.52% | -42.37% |
1Y | -24.85% | -42.5% |
3Y (ann.) | -21.01% | -39.22% |
5Y (ann.) | -21.01% | -39.22% |
10Y (ann.) | -21.01% | -39.22% |
All-time (ann.) | -21.01% | -39.22% |
Best Day | 9.89% | 19.97% |
Worst Day | -30.21% | -33.14% |
Best Month | 36.71% | 5.01% |
Worst Month | -40.36% | -29.87% |
Best Year | -4.3% | 2.63% |
Worst Year | -18.52% | -42.37% |
Avg. Drawdown | -10.65% | -5.22% |
Avg. Drawdown Days | 53 | 30 |
Recovery Factor | -0.42 | -0.8 |
Ulcer Index | inf | inf |
Avg. Up Month | 16.64% | 2.34% |
Avg. Down Month | -20.61% | -6.12% |
Win Days % | 47.96% | 50.51% |
Win Month % | 54.55% | 45.45% |
Win Quarter % | 40.0% | 20.0% |
Win Year % | 0.0% | 50.0% |
Beta | 0.12 | - |
Alpha | -0.12 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.64 | -4.33 | -1.64 | - |
2022 | -42.54 | -18.64 | 0.44 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2022-08-11 | -52.76 | 261 |
2021-08-11 | 2021-10-29 | -11.82 | 79 |
2021-07-23 | 2021-08-06 | -4.60 | 14 |
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 |