Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 90.0% | 11.0% |
Cumulative Return | -21.83% | -13.01% |
CAGR﹪ | -9.98% | -5.78% |
Sharpe | -6.91 | -7.24 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -6.22 | -6.52 |
Sortino | -7.33 | -8.76 |
Smart Sortino | -6.6 | -7.88 |
Sortino/√2 | -5.18 | -6.19 |
Smart Sortino/√2 | -4.67 | -5.57 |
Omega | 0.3 | 0.3 |
Max Drawdown | -40.28% | -34.85% |
Longest DD Days | 804 | 847 |
Volatility (ann.) | 32.78% | 30.04% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.25 | -0.17 |
Skew | -0.05 | 3.21 |
Kurtosis | 5.95 | 45.32 |
Expected Daily | -0.09% | -0.05% |
Expected Monthly | -0.85% | -0.48% |
Expected Yearly | -5.97% | -3.43% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.47% | -3.15% |
Expected Shortfall (cVaR) | -3.47% | -3.15% |
Max Consecutive Wins | 7 | 3 |
Max Consecutive Losses | 7 | 3 |
Gain/Pain Ratio | -0.1 | -0.14 |
Gain/Pain (1M) | -0.36 | -0.14 |
Payoff Ratio | - | - |
Profit Factor | 0.9 | 0.86 |
Common Sense Ratio | 1.13 | 0.0 |
CPC Index | - | - |
Tail Ratio | 1.25 | 0.0 |
Outlier Win Ratio | 4.52 | 25.51 |
Outlier Loss Ratio | 3.46 | 1.46 |
MTD | 0.0% | 5.3% |
3M | 0.0% | 4.76% |
6M | 0.0% | 3.59% |
YTD | 0.0% | 4.76% |
1Y | 0.0% | 10.53% |
3Y (ann.) | -9.98% | -5.78% |
5Y (ann.) | -9.98% | -5.78% |
10Y (ann.) | -9.98% | -5.78% |
All-time (ann.) | -9.98% | -5.78% |
Best Day | 9.03% | 18.42% |
Worst Day | -11.66% | -11.15% |
Best Month | 20.16% | 18.42% |
Worst Month | -13.74% | -11.15% |
Best Year | 1.74% | 7.62% |
Worst Year | -20.47% | -18.4% |
Avg. Drawdown | -23.95% | -34.85% |
Avg. Drawdown Days | 426 | 847 |
Recovery Factor | -0.54 | -0.37 |
Ulcer Index | 0.22 | 0.22 |
Serenity Index | -1.94 | -1.73 |
Avg. Up Month | - | - |
Avg. Down Month | -4.87% | -3.74% |
Win Days | 46.67% | 37.93% |
Win Month | 23.08% | 35.71% |
Win Quarter | 33.33% | 50.0% |
Win Year | 33.33% | 50.0% |
Beta | -0.03 | - |
Alpha | -0.18 | - |
Correlation | -2.98% | - |
Treynor Ratio | 22202.07% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -5.45 | -3.40 | 0.62 | + |
2022 | -18.40 | -20.47 | 1.11 | - |
2023 | 7.62 | 1.74 | 0.23 | - |
2024 | 4.76 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-13 | 2024-03-27 | -40.28 | 804 |
2021-11-25 | 2022-01-12 | -7.61 | 48 |