Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 73.0% | 100.0% |
Cumulative Return | -6.24% | 0.04% |
CAGR﹪ | -3.93% | 0.02% |
Sharpe | -8.83 | -3.43 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.98 | -2.33 |
Sortino | -8.96 | -4.12 |
Smart Sortino | -6.07 | -2.79 |
Sortino/√2 | -6.33 | -2.91 |
Smart Sortino/√2 | -4.29 | -1.97 |
Omega | 0.18 | 0.18 |
Max Drawdown | -9.97% | -24.49% |
Longest DD Days | 575 | 330 |
Volatility (ann.) | 8.37% | 19.64% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.02 | -0.02 |
Calmar | -0.39 | 0.0 |
Skew | 0.54 | -0.15 |
Kurtosis | 24.29 | 2.52 |
Expected Daily | -0.02% | 0.0% |
Expected Monthly | -0.36% | 0.0% |
Expected Yearly | -3.17% | 0.02% |
Kelly Criterion | -6.9% | 1.43% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.88% | -2.03% |
Expected Shortfall (cVaR) | -0.88% | -2.03% |
Max Consecutive Wins | 3 | 7 |
Max Consecutive Losses | 8 | 6 |
Gain/Pain Ratio | -0.12 | 0.02 |
Gain/Pain (1M) | -0.71 | 0.06 |
Payoff Ratio | 1.05 | 1.02 |
Profit Factor | 0.88 | 1.02 |
Common Sense Ratio | 0.77 | 1.0 |
CPC Index | 0.42 | 0.52 |
Tail Ratio | 0.87 | 0.98 |
Outlier Win Ratio | 9.98 | 2.39 |
Outlier Loss Ratio | 5.86 | 2.43 |
MTD | 0.69% | 5.59% |
3M | -0.11% | 1.71% |
6M | 0.58% | -5.75% |
YTD | -0.57% | -13.33% |
1Y | -1.58% | -10.92% |
3Y (ann.) | -3.93% | 0.02% |
5Y (ann.) | -3.93% | 0.02% |
10Y (ann.) | -3.93% | 0.02% |
All-time (ann.) | -3.93% | 0.02% |
Best Day | 4.05% | 5.55% |
Worst Day | -3.78% | -5.38% |
Best Month | 0.92% | 9.22% |
Worst Month | -2.25% | -9.21% |
Best Year | -0.57% | 15.42% |
Worst Year | -5.7% | -13.33% |
Avg. Drawdown | -5.04% | -2.2% |
Avg. Drawdown Days | 288 | 20 |
Recovery Factor | -0.63 | 0.0 |
Ulcer Index | 0.05 | 0.11 |
Serenity Index | -1.31 | -0.52 |
Avg. Up Month | 0.45% | 4.21% |
Avg. Down Month | -0.39% | -5.01% |
Win Days | 45.27% | 50.3% |
Win Month | 22.22% | 55.56% |
Win Quarter | 28.57% | 57.14% |
Win Year | 0.0% | 50.0% |
Beta | 0.05 | - |
Alpha | -0.05 | - |
Correlation | 11.12% | - |
Treynor Ratio | -2242.15% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 15.42 | -5.70 | -0.37 | - |
2022 | -13.33 | -0.57 | 0.04 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-05-04 | 2022-11-30 | -9.97 | 575 |
2021-04-28 | 2021-04-29 | -0.11 | 1 |