Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -11.26% | 8.86% |
CAGR﹪ | -7.83% | 5.96% |
Sharpe | 0.05 | 83.54 |
Prob. Sharpe Ratio | 52.26% | 100.0% |
Smart Sharpe | 0.05 | 80.09 |
Sortino | 0.06 | - |
Smart Sortino | 0.06 | - |
Sortino/√2 | 0.04 | - |
Smart Sortino/√2 | 0.04 | - |
Omega | 1.01 | 1.01 |
Max Drawdown | -43.59% | - |
Longest DD Days | - | - |
Volatility (ann.) | 45.85% | 0.09% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.18 | - |
Skew | -9.77 | 0.85 |
Kurtosis | 136.17 | 4.23 |
Expected Daily | -0.04% | 0.03% |
Expected Monthly | -0.85% | 0.61% |
Expected Yearly | -3.9% | 2.87% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.74% | -0.02% |
Expected Shortfall (cVaR) | -4.74% | -0.02% |
Max Consecutive Wins | 8 | 278 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | 0.01 | - |
Gain/Pain (1M) | 0.05 | - |
Payoff Ratio | - | - |
Profit Factor | 1.01 | - |
Common Sense Ratio | 1.17 | - |
CPC Index | - | - |
Tail Ratio | 1.15 | 1.6 |
Outlier Win Ratio | 1.46 | 60.91 |
Outlier Loss Ratio | 1.41 | - |
MTD | 6.2% | 0.64% |
3M | 21.15% | 2.15% |
6M | 20.57% | 3.92% |
YTD | 9.42% | 1.32% |
1Y | -13.55% | 5.05% |
3Y (ann.) | -7.83% | 5.96% |
5Y (ann.) | -7.83% | 5.96% |
10Y (ann.) | -7.83% | 5.96% |
All-time (ann.) | -7.83% | 5.96% |
Best Day | 5.9% | 0.05% |
Worst Day | -40.25% | 0.0% |
Best Month | 13.32% | 0.71% |
Worst Month | -31.41% | 0.5% |
Best Year | 9.42% | 5.01% |
Worst Year | -24.7% | 1.32% |
Avg. Drawdown | -9.36% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.26 | - |
Ulcer Index | 0.25 | 0.0 |
Serenity Index | -0.03 | - |
Avg. Up Month | 6.01% | 0.63% |
Avg. Down Month | - | - |
Win Days | 53.07% | 100.0% |
Win Month | 64.29% | 100.0% |
Win Quarter | 66.67% | 100.0% |
Win Year | 66.67% | 100.0% |
Beta | -35.09 | - |
Alpha | 2.72 | - |
Correlation | -7.03% | - |
Treynor Ratio | 0.32% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.32 | 7.70 | 3.32 | + |
2022 | 5.01 | -24.70 | -4.92 | - |
2023 | 1.32 | 9.42 | 7.16 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-07-14 | 2023-02-24 | -43.59 | 225 |
2022-01-05 | 2022-02-25 | -7.41 | 51 |
2021-09-08 | 2021-11-02 | -6.34 | 55 |
2021-11-23 | 2021-12-29 | -6.00 | 36 |
2021-11-08 | 2021-11-12 | -1.12 | 4 |
2021-11-17 | 2021-11-18 | -0.98 | 1 |
2022-01-03 | 2022-01-04 | -0.10 | 1 |