Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -21.73% | -37.21% |
CAGR﹪ | -40.91% | -63.18% |
Sharpe | -6.73 | -4.38 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.06 | -3.94 |
Sortino | -7.1 | -4.73 |
Smart Sortino | -6.39 | -4.26 |
Sortino/√2 | -5.02 | -3.34 |
Smart Sortino/√2 | -4.52 | -3.01 |
Omega | 0.31 | 0.31 |
Max Drawdown | -37.93% | -51.26% |
Longest DD Days | 100 | 127 |
Volatility (ann.) | 37.69% | 64.74% |
R^2 | 0.0 | 0.0 |
Information Ratio | 0.03 | 0.03 |
Calmar | -1.08 | -1.23 |
Skew | 0.23 | -3.66 |
Kurtosis | 1.77 | 41.08 |
Expected Daily | -0.21% | -0.39% |
Expected Monthly | -4.0% | -7.46% |
Expected Yearly | -11.53% | -20.76% |
Kelly Criterion | -4.33% | 5.69% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.08% | -7.0% |
Expected Shortfall (cVaR) | -4.08% | -7.0% |
Max Consecutive Wins | 5 | 6 |
Max Consecutive Losses | 8 | 4 |
Gain/Pain Ratio | -0.18 | -0.29 |
Gain/Pain (1M) | -0.6 | -0.9 |
Payoff Ratio | 1.05 | 1.21 |
Profit Factor | 0.82 | 0.71 |
Common Sense Ratio | 0.71 | 0.54 |
CPC Index | 0.4 | 0.42 |
Tail Ratio | 0.87 | 0.75 |
Outlier Win Ratio | 2.83 | 3.04 |
Outlier Loss Ratio | 4.05 | 3.69 |
MTD | 3.28% | -30.02% |
3M | -25.4% | -36.5% |
6M | -21.73% | -37.21% |
YTD | -16.95% | -34.42% |
1Y | -21.73% | -37.21% |
3Y (ann.) | -40.91% | -63.18% |
5Y (ann.) | -40.91% | -63.18% |
10Y (ann.) | -40.91% | -63.18% |
All-time (ann.) | -40.91% | -63.18% |
Best Day | 8.92% | 20.04% |
Worst Day | -7.4% | -33.28% |
Best Month | 5.93% | 2.28% |
Worst Month | -19.59% | -30.02% |
Best Year | -5.76% | -4.25% |
Worst Year | -16.95% | -34.42% |
Avg. Drawdown | -10.67% | -8.17% |
Avg. Drawdown Days | 31 | 22 |
Recovery Factor | -0.57 | -0.73 |
Ulcer Index | 0.19 | 0.13 |
Serenity Index | -2.64 | -10.18 |
Avg. Up Month | 5.93% | 1.56% |
Avg. Down Month | -14.96% | -3.98% |
Win Days | 46.55% | 48.31% |
Win Month | 50.0% | 33.33% |
Win Quarter | 0.0% | 33.33% |
Win Year | 0.0% | 0.0% |
Beta | 0.01 | - |
Alpha | -0.44 | - |
Correlation | 1.87% | - |
Treynor Ratio | -66179.17% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -4.25 | -5.76 | 1.36 | - |
2022 | -34.42 | -16.95 | 0.49 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-17 | 2022-02-25 | -37.93 | 100 |
2021-09-24 | 2021-11-03 | -10.89 | 40 |
2021-09-13 | 2021-09-22 | -3.03 | 9 |
2021-11-09 | 2021-11-12 | -0.95 | 3 |
2021-11-05 | 2021-11-08 | -0.57 | 3 |