Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -2.78% | 10.69% |
CAGR﹪ | -1.41% | 5.25% |
Sharpe | 0.21 | 8.96 |
Prob. Sharpe Ratio | 60.36% | 100.0% |
Smart Sharpe | 0.21 | 8.79 |
Sortino | 0.26 | 50.63 |
Smart Sortino | 0.26 | 49.63 |
Sortino/√2 | 0.19 | 35.8 |
Smart Sortino/√2 | 0.18 | 35.09 |
Omega | 1.04 | 1.04 |
Max Drawdown | -55.76% | -1.25% |
Longest DD Days | 539 | 209 |
Volatility (ann.) | 46.33% | 0.7% |
R^2 | 0.01 | 0.01 |
Information Ratio | 0.0 | 0.0 |
Calmar | -0.03 | 4.19 |
Skew | -3.08 | 8.35 |
Kurtosis | 30.2 | 99.32 |
Expected Daily | -0.01% | 0.02% |
Expected Monthly | -0.13% | 0.46% |
Expected Yearly | -0.94% | 3.44% |
Kelly Criterion | -11.43% | 73.93% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.76% | -0.05% |
Expected Shortfall (cVaR) | -4.76% | -0.05% |
Max Consecutive Wins | 7 | 263 |
Max Consecutive Losses | 12 | 65 |
Gain/Pain Ratio | 0.04 | 8.05 |
Gain/Pain (1M) | 0.13 | 8.05 |
Payoff Ratio | 0.76 | 1.59 |
Profit Factor | 1.04 | 9.05 |
Common Sense Ratio | 1.06 | 23.94 |
CPC Index | 0.41 | 12.1 |
Tail Ratio | 1.02 | 2.65 |
Outlier Win Ratio | 1.64 | 92.06 |
Outlier Loss Ratio | 1.87 | 191.82 |
MTD | -10.15% | 1.11% |
3M | -23.48% | 3.11% |
6M | 13.18% | 4.48% |
YTD | 43.51% | 6.25% |
1Y | 79.43% | 7.45% |
3Y (ann.) | -1.41% | 5.25% |
5Y (ann.) | -1.41% | 5.25% |
10Y (ann.) | -1.41% | 5.25% |
All-time (ann.) | -1.41% | 5.25% |
Best Day | 7.04% | 0.55% |
Worst Day | -30.74% | -0.02% |
Best Month | 34.23% | 1.17% |
Worst Month | -32.45% | -0.52% |
Best Year | 43.51% | 6.25% |
Worst Year | -38.81% | 1.73% |
Avg. Drawdown | -11.1% | -1.25% |
Avg. Drawdown Days | 69 | 209 |
Recovery Factor | -0.05 | 8.52 |
Ulcer Index | 0.31 | 0.01 |
Serenity Index | -0.0 | 0.92 |
Avg. Up Month | 8.43% | 0.58% |
Avg. Down Month | -20.03% | -0.44% |
Win Days | 51.99% | 83.99% |
Win Month | 63.64% | 86.36% |
Win Quarter | 66.67% | 77.78% |
Win Year | 66.67% | 100.0% |
Beta | -7.28 | - |
Alpha | 0.56 | - |
Correlation | -11.03% | - |
Treynor Ratio | 0.38% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.73 | 10.71 | 6.19 | + |
2022 | 2.41 | -38.81 | -16.10 | - |
2023 | 6.25 | 43.51 | 6.97 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-05 | 2023-06-28 | -55.76 | 539 |
2023-09-06 | 2023-11-02 | -25.31 | 57 |
2023-08-11 | 2023-09-05 | -10.66 | 25 |
2021-11-23 | 2022-01-03 | -7.28 | 41 |
2023-07-20 | 2023-07-31 | -5.46 | 11 |
2023-07-06 | 2023-07-12 | -2.38 | 6 |
2023-07-03 | 2023-07-05 | -1.70 | 2 |
2023-08-02 | 2023-08-04 | -1.17 | 2 |
2021-11-10 | 2021-11-12 | -0.76 | 2 |
2023-08-07 | 2023-08-09 | -0.53 | 2 |