Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 88.0% | 13.0% |
Cumulative Return | -21.83% | -10.54% |
CAGR﹪ | -8.83% | -4.09% |
Sharpe | -0.75 | -0.43 |
Prob. Sharpe Ratio | 4.34% | 9.1% |
Smart Sharpe | -0.67 | -0.38 |
Sortino | -1.04 | -0.68 |
Smart Sortino | -0.94 | -0.62 |
Sortino/√2 | -0.74 | -0.48 |
Smart Sortino/√2 | -0.67 | -0.44 |
Omega | 0.87 | 0.87 |
Max Drawdown | -40.28% | -34.85% |
Longest DD Days | 922 | 965 |
Volatility (ann.) | 32.48% | 29.88% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.22 | -0.12 |
Skew | -0.05 | 3.19 |
Kurtosis | 6.12 | 45.39 |
Expected Daily | -0.09% | -0.04% |
Expected Monthly | -0.74% | -0.34% |
Expected Yearly | -5.97% | -2.74% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.43% | -3.12% |
Expected Shortfall (cVaR) | -3.43% | -3.12% |
Max Consecutive Wins | 7 | 3 |
Max Consecutive Losses | 7 | 3 |
Gain/Pain Ratio | -0.1 | -0.1 |
Gain/Pain (1M) | -0.36 | -0.1 |
Payoff Ratio | - | - |
Profit Factor | 0.9 | 0.9 |
Common Sense Ratio | 1.13 | 0.03 |
CPC Index | - | - |
Tail Ratio | 1.25 | 0.03 |
Outlier Win Ratio | 4.65 | 24.28 |
Outlier Loss Ratio | 3.43 | 1.52 |
MTD | 0.0% | 0.74% |
3M | 0.0% | 2.84% |
6M | 0.0% | 6.22% |
YTD | 0.0% | 7.75% |
1Y | 0.0% | 8.87% |
3Y (ann.) | -8.83% | -4.09% |
5Y (ann.) | -8.83% | -4.09% |
10Y (ann.) | -8.83% | -4.09% |
All-time (ann.) | -8.83% | -4.09% |
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% | 7.75% |
Worst Year | -20.47% | -18.4% |
Avg. Drawdown | -23.95% | -34.85% |
Avg. Drawdown Days | 485 | 965 |
Recovery Factor | -0.54 | -0.3 |
Ulcer Index | 0.22 | 0.22 |
Serenity Index | -0.08 | -0.04 |
Avg. Up Month | - | - |
Avg. Down Month | -4.87% | -3.74% |
Win Days | 46.67% | 42.42% |
Win Month | 23.08% | 40.62% |
Win Quarter | 33.33% | 58.33% |
Win Year | 33.33% | 50.0% |
Beta | -0.03 | - |
Alpha | -0.18 | - |
Correlation | -2.95% | - |
Treynor Ratio | 899.82% | - |
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 | 7.75 | 0.00 | 0.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-13 | 2024-07-23 | -40.28 | 922 |
2021-11-25 | 2022-01-12 | -7.61 | 48 |