Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | -10.53% | -41.98% |
CAGR﹪ | -8.36% | -34.78% |
Sharpe | -5.54 | -5.07 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.43 | -4.97 |
Sortino | -5.89 | -5.34 |
Smart Sortino | -5.78 | -5.23 |
Sortino/√2 | -4.17 | -3.77 |
Smart Sortino/√2 | -4.08 | -3.7 |
Omega | 0.3 | 0.3 |
Max Drawdown | -40.89% | -53.53% |
Longest DD Days | 300 | 427 |
Volatility (ann.) | 38.19% | 48.89% |
R^2 | 0.04 | 0.04 |
Information Ratio | 0.03 | 0.03 |
Calmar | -0.2 | -0.65 |
Skew | -3.79 | -4.09 |
Kurtosis | 48.13 | 58.03 |
Expected Daily | -0.04% | -0.21% |
Expected Monthly | -0.79% | -3.81% |
Expected Yearly | -5.41% | -23.83% |
Kelly Criterion | -12.35% | -0.45% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.97% | -5.22% |
Expected Shortfall (cVaR) | -3.97% | -5.22% |
Max Consecutive Wins | 7 | 7 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.02 | -0.19 |
Gain/Pain (1M) | -0.06 | -0.58 |
Payoff Ratio | 0.87 | 1.01 |
Profit Factor | 0.98 | 0.81 |
Common Sense Ratio | 1.18 | 0.57 |
CPC Index | 0.41 | 0.41 |
Tail Ratio | 1.2 | 0.71 |
Outlier Win Ratio | 3.51 | 3.45 |
Outlier Loss Ratio | 4.76 | 3.8 |
MTD | 9.77% | -0.55% |
3M | 10.91% | 6.24% |
6M | 23.7% | -2.91% |
YTD | -11.44% | -39.02% |
1Y | -11.17% | -37.39% |
3Y (ann.) | -8.36% | -34.78% |
5Y (ann.) | -8.36% | -34.78% |
10Y (ann.) | -8.36% | -34.78% |
All-time (ann.) | -8.36% | -34.78% |
Best Day | 10.54% | 20.04% |
Worst Day | -25.28% | -33.28% |
Best Month | 21.25% | 15.56% |
Worst Month | -25.28% | -30.02% |
Best Year | 1.03% | -4.86% |
Worst Year | -11.44% | -39.02% |
Avg. Drawdown | -7.3% | -9.82% |
Avg. Drawdown Days | 50 | 75 |
Recovery Factor | -0.26 | -0.78 |
Ulcer Index | 0.23 | 0.36 |
Serenity Index | -1.76 | -1.03 |
Avg. Up Month | 12.83% | 8.57% |
Avg. Down Month | -11.43% | -7.66% |
Win Days | 47.64% | 49.43% |
Win Month | 46.15% | 42.86% |
Win Quarter | 66.67% | 33.33% |
Win Year | 50.0% | 0.0% |
Beta | -0.16 | - |
Alpha | -0.09 | - |
Correlation | -21.12% | - |
Treynor Ratio | 4306.45% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -4.86 | 1.03 | -0.21 | + |
2022 | -39.02 | -11.44 | 0.29 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-02-25 | 2022-12-22 | -40.89 | 300 |
2022-01-27 | 2022-02-21 | -6.35 | 25 |
2021-09-27 | 2021-11-18 | -6.35 | 52 |
2021-11-23 | 2022-01-05 | -4.70 | 43 |
2022-01-06 | 2022-01-24 | -2.96 | 18 |
2022-02-22 | 2022-02-24 | -1.92 | 2 |
2021-09-15 | 2021-09-23 | -1.47 | 8 |
2021-11-19 | 2021-11-22 | -0.99 | 3 |
2022-01-25 | 2022-01-26 | -0.06 | 1 |