Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -8.48% | 7.82% |
CAGR﹪ | -4.67% | 4.15% |
Sharpe | 0.1 | 12.7 |
Prob. Sharpe Ratio | 54.72% | 100.0% |
Smart Sharpe | 0.1 | 12.32 |
Sortino | 0.12 | 39.2 |
Smart Sortino | 0.12 | 38.04 |
Sortino/√2 | 0.09 | 27.72 |
Smart Sortino/√2 | 0.08 | 26.9 |
Omega | 1.02 | 1.02 |
Max Drawdown | -55.27% | -1.25% |
Longest DD Days | 668 | 209 |
Volatility (ann.) | 42.9% | 0.4% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.0 | -0.0 |
Calmar | -0.08 | 3.31 |
Skew | -4.81 | 0.12 |
Kurtosis | 59.36 | -0.32 |
Expected Daily | -0.02% | 0.02% |
Expected Monthly | -0.44% | 0.38% |
Expected Yearly | -2.91% | 2.54% |
Kelly Criterion | -20.14% | 70.73% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.43% | -0.02% |
Expected Shortfall (cVaR) | -4.43% | -0.02% |
Max Consecutive Wins | 5 | 234 |
Max Consecutive Losses | 6 | 65 |
Gain/Pain Ratio | 0.02 | 5.97 |
Gain/Pain (1M) | 0.06 | 5.97 |
Payoff Ratio | 0.72 | 1.48 |
Profit Factor | 1.02 | 6.97 |
Common Sense Ratio | 1.27 | 19.87 |
CPC Index | 0.37 | 8.51 |
Tail Ratio | 1.25 | 2.85 |
Outlier Win Ratio | 1.72 | 97.94 |
Outlier Loss Ratio | 1.48 | 126.4 |
MTD | -6.13% | 0.19% |
3M | 7.34% | 1.23% |
6M | 28.64% | 2.18% |
YTD | 51.61% | 3.52% |
1Y | 71.44% | 4.91% |
3Y (ann.) | -4.67% | 4.15% |
5Y (ann.) | -4.67% | 4.15% |
10Y (ann.) | -4.67% | 4.15% |
All-time (ann.) | -4.67% | 4.15% |
Best Day | 8.89% | 0.08% |
Worst Day | -32.96% | -0.02% |
Best Month | 31.55% | 1.17% |
Worst Month | -34.08% | -0.52% |
Best Year | 51.61% | 3.52% |
Worst Year | -39.28% | 1.71% |
Avg. Drawdown | -28.08% | -1.25% |
Avg. Drawdown Days | 335 | 209 |
Recovery Factor | -0.15 | 6.23 |
Ulcer Index | 0.34 | 0.01 |
Serenity Index | -0.01 | 0.35 |
Avg. Up Month | 6.22% | 0.55% |
Avg. Down Month | -16.3% | -0.44% |
Win Days | 49.59% | 82.53% |
Win Month | 65.0% | 85.0% |
Win Quarter | 50.0% | 75.0% |
Win Year | 33.33% | 100.0% |
Beta | -3.06 | - |
Alpha | 0.2 | - |
Correlation | -2.86% | - |
Treynor Ratio | 2.77% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.71 | -0.60 | -0.35 | - |
2022 | 2.41 | -39.28 | -16.30 | - |
2023 | 3.52 | 51.61 | 14.68 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-11-23 | 2023-09-22 | -55.27 | 668 |
2021-11-17 | 2021-11-19 | -0.89 | 2 |