Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 98.0% | 100.0% |
Cumulative Return | -9.08% | 5.61% |
CAGR﹪ | -7.45% | 4.54% |
Sharpe | -0.05 | 16.59 |
Prob. Sharpe Ratio | 48.28% | 100.0% |
Smart Sharpe | -0.04 | 15.26 |
Sortino | -0.05 | 45.75 |
Smart Sortino | -0.05 | 42.07 |
Sortino/√2 | -0.04 | 32.35 |
Smart Sortino/√2 | -0.03 | 29.75 |
Omega | 0.99 | 0.99 |
Max Drawdown | -40.33% | -0.52% |
Longest DD Days | 174 | 105 |
Volatility (ann.) | 41.44% | 0.42% |
R^2 | 0.04 | 0.04 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.18 | 8.72 |
Skew | -8.19 | -0.7 |
Kurtosis | 96.02 | 0.13 |
Expected Daily | -0.05% | 0.03% |
Expected Monthly | -0.86% | 0.5% |
Expected Yearly | -3.12% | 1.84% |
Kelly Criterion | -98.98% | 84.46% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.3% | -0.02% |
Expected Shortfall (cVaR) | -4.3% | -0.02% |
Max Consecutive Wins | 4 | 107 |
Max Consecutive Losses | 6 | 15 |
Gain/Pain Ratio | -0.01 | 10.47 |
Gain/Pain (1M) | -0.04 | 10.47 |
Payoff Ratio | 0.32 | 0.96 |
Profit Factor | 0.99 | 11.47 |
Common Sense Ratio | 1.31 | 21.34 |
CPC Index | 0.16 | 10.18 |
Tail Ratio | 1.32 | 1.86 |
Outlier Win Ratio | 1.74 | 61.93 |
Outlier Loss Ratio | 1.67 | 62.65 |
MTD | 2.19% | 0.04% |
3M | 22.21% | 1.91% |
6M | -19.91% | 1.61% |
YTD | 4.32% | 0.74% |
1Y | -14.58% | 2.8% |
3Y (ann.) | -7.45% | 4.54% |
5Y (ann.) | -7.45% | 4.54% |
10Y (ann.) | -7.45% | 4.54% |
All-time (ann.) | -7.45% | 4.54% |
Best Day | 4.75% | 0.06% |
Worst Day | -30.6% | -0.03% |
Best Month | 14.62% | 1.17% |
Worst Month | -34.2% | -0.52% |
Best Year | 5.6% | 3.05% |
Worst Year | -17.47% | 0.74% |
Avg. Drawdown | -7.07% | -0.52% |
Avg. Drawdown Days | 33 | 105 |
Recovery Factor | -0.23 | 10.79 |
Ulcer Index | 0.25 | 0.0 |
Serenity Index | -0.02 | 1.47 |
Avg. Up Month | 4.61% | 0.66% |
Avg. Down Month | -34.2% | -0.52% |
Win Days | 51.3% | 92.39% |
Win Month | 81.82% | 90.91% |
Win Quarter | 80.0% | 80.0% |
Win Year | 66.67% | 100.0% |
Beta | 20.59 | - |
Alpha | -1.45 | - |
Correlation | 20.8% | - |
Treynor Ratio | -0.44% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.73 | 5.60 | 3.24 | + |
2022 | 3.05 | -17.47 | -5.73 | - |
2023 | 0.74 | 4.32 | 5.81 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-08-11 | 2023-02-01 | -40.33 | 174 |
2022-01-27 | 2022-02-21 | -5.92 | 25 |
2021-11-29 | 2022-01-05 | -3.22 | 37 |
2022-01-06 | 2022-01-24 | -2.96 | 18 |
2021-11-23 | 2021-11-26 | -1.38 | 3 |
2021-11-17 | 2021-11-19 | -1.35 | 2 |
2022-02-22 | 2022-02-25 | -1.15 | 3 |
2022-01-25 | 2022-01-26 | -0.29 | 1 |