Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 95.0% |
Cumulative Return | -15.9% | -11.78% |
CAGR﹪ | -8.45% | -6.19% |
Sharpe | -4.93 | -10.24 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.72 | -9.81 |
Sortino | -5.05 | -9.11 |
Smart Sortino | -4.84 | -8.72 |
Sortino/√2 | -3.57 | -6.44 |
Smart Sortino/√2 | -3.42 | -6.17 |
Omega | 0.31 | 0.31 |
Max Drawdown | -50.23% | -30.25% |
Longest DD Days | 524 | 668 |
Volatility (ann.) | 42.56% | 20.98% |
R^2 | 0.22 | 0.22 |
Information Ratio | 0.01 | 0.01 |
Calmar | -0.17 | -0.2 |
Skew | -6.02 | -0.92 |
Kurtosis | 69.53 | 6.19 |
Expected Daily | -0.05% | -0.03% |
Expected Monthly | -0.82% | -0.6% |
Expected Yearly | -5.61% | -4.09% |
Kelly Criterion | 0.55% | -6.01% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.41% | -2.2% |
Expected Shortfall (cVaR) | -4.41% | -2.2% |
Max Consecutive Wins | 8 | 9 |
Max Consecutive Losses | 7 | 6 |
Gain/Pain Ratio | -0.01 | -0.05 |
Gain/Pain (1M) | -0.01 | -0.16 |
Payoff Ratio | 0.91 | 0.87 |
Profit Factor | 0.99 | 0.95 |
Common Sense Ratio | 1.28 | 0.9 |
CPC Index | 0.48 | 0.42 |
Tail Ratio | 1.29 | 0.95 |
Outlier Win Ratio | 2.95 | 4.59 |
Outlier Loss Ratio | 2.78 | 4.21 |
MTD | -21.81% | 2.95% |
3M | -29.66% | -7.27% |
6M | -1.54% | 6.97% |
YTD | 9.55% | 11.44% |
1Y | 35.69% | 16.01% |
3Y (ann.) | -8.45% | -6.19% |
5Y (ann.) | -8.45% | -6.19% |
10Y (ann.) | -8.45% | -6.19% |
All-time (ann.) | -8.45% | -6.19% |
Best Day | 9.98% | 3.99% |
Worst Day | -32.81% | -8.89% |
Best Month | 28.06% | 7.44% |
Worst Month | -32.81% | -9.14% |
Best Year | 9.55% | 11.44% |
Worst Year | -24.1% | -20.91% |
Avg. Drawdown | -8.17% | -17.85% |
Avg. Drawdown Days | 57 | 356 |
Recovery Factor | -0.32 | -0.39 |
Ulcer Index | 0.26 | 0.17 |
Serenity Index | -1.54 | -1.97 |
Avg. Up Month | 11.57% | 5.85% |
Avg. Down Month | -11.33% | -5.84% |
Win Days | 52.67% | 50.69% |
Win Month | 57.14% | 42.86% |
Win Quarter | 66.67% | 44.44% |
Win Year | 66.67% | 66.67% |
Beta | 0.96 | - |
Alpha | 0.05 | - |
Correlation | 47.3% | - |
Treynor Ratio | -746.28% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 0.10 | 1.15 | 11.78 | + |
2022 | -20.91 | -24.10 | 1.15 | - |
2023 | 11.44 | 9.55 | 0.83 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2023-06-14 | -50.23 | 524 |
2023-08-14 | 2023-11-02 | -32.63 | 80 |
2021-11-23 | 2022-01-04 | -6.38 | 42 |
2021-11-17 | 2021-11-22 | -1.71 | 5 |
2023-06-20 | 2023-06-28 | -1.65 | 8 |
2023-07-20 | 2023-07-28 | -1.46 | 8 |
2023-07-03 | 2023-07-07 | -1.07 | 4 |
2023-07-17 | 2023-07-19 | -0.79 | 2 |
2023-08-07 | 2023-08-09 | -0.76 | 2 |
2023-07-10 | 2023-07-12 | -0.58 | 2 |