Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 99.0% |
Cumulative Return | -20.58% | -31.86% |
CAGR﹪ | -39.94% | -57.2% |
Sharpe | -6.64 | -5.94 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.93 | -5.31 |
Sortino | -7.04 | -6.48 |
Smart Sortino | -6.29 | -5.79 |
Sortino/√2 | -4.98 | -4.58 |
Smart Sortino/√2 | -4.45 | -4.1 |
Omega | 0.32 | 0.32 |
Max Drawdown | -37.93% | -43.08% |
Longest DD Days | 100 | 99 |
Volatility (ann.) | 37.92% | 47.28% |
R^2 | 0.39 | 0.39 |
Information Ratio | 0.05 | 0.05 |
Calmar | -1.05 | -1.33 |
Skew | 0.24 | 0.28 |
Kurtosis | 1.76 | 2.32 |
Expected Daily | -0.2% | -0.33% |
Expected Monthly | -3.77% | -6.19% |
Expected Yearly | -10.88% | -17.45% |
Kelly Criterion | -11.71% | -7.85% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.1% | -5.19% |
Expected Shortfall (cVaR) | -4.1% | -5.19% |
Max Consecutive Wins | 5 | 3 |
Max Consecutive Losses | 8 | 6 |
Gain/Pain Ratio | -0.18 | -0.23 |
Gain/Pain (1M) | -0.58 | -0.81 |
Payoff Ratio | 0.94 | 0.95 |
Profit Factor | 0.82 | 0.77 |
Common Sense Ratio | 0.72 | 0.59 |
CPC Index | 0.35 | 0.35 |
Tail Ratio | 0.87 | 0.77 |
Outlier Win Ratio | 3.81 | 3.29 |
Outlier Loss Ratio | 3.24 | 2.51 |
MTD | 3.28% | -3.9% |
3M | -25.4% | -33.69% |
6M | -20.58% | -31.86% |
YTD | -16.95% | -26.15% |
1Y | -20.58% | -31.86% |
3Y (ann.) | -39.94% | -57.2% |
5Y (ann.) | -39.94% | -57.2% |
10Y (ann.) | -39.94% | -57.2% |
All-time (ann.) | -39.94% | -57.2% |
Best Day | 8.92% | 12.08% |
Worst Day | -7.4% | -8.65% |
Best Month | 5.93% | 8.02% |
Worst Month | -19.59% | -23.15% |
Best Year | -4.37% | -7.73% |
Worst Year | -16.95% | -26.15% |
Avg. Drawdown | -8.72% | -7.67% |
Avg. Drawdown Days | 25 | 18 |
Recovery Factor | -0.54 | -0.74 |
Ulcer Index | 0.19 | 0.21 |
Serenity Index | -2.59 | -2.75 |
Avg. Up Month | 5.93% | 8.02% |
Avg. Down Month | -11.03% | -12.63% |
Win Days | 46.02% | 47.37% |
Win Month | 50.0% | 16.67% |
Win Quarter | 0.0% | 0.0% |
Win Year | 0.0% | 0.0% |
Beta | 0.5 | - |
Alpha | -0.07 | - |
Correlation | 62.21% | - |
Treynor Ratio | -1444.25% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -7.73 | -4.37 | 0.57 | + |
2022 | -26.15 | -16.95 | 0.65 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-17 | 2022-02-25 | -37.93 | 100 |
2021-09-24 | 2021-11-03 | -10.89 | 40 |
2021-09-20 | 2021-09-22 | -1.34 | 2 |
2021-11-09 | 2021-11-12 | -0.95 | 3 |
2021-09-15 | 2021-09-16 | -0.63 | 1 |
2021-11-05 | 2021-11-08 | -0.57 | 3 |