Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 81.0% | 54.0% |
Cumulative Return | -26.42% | -100.0% |
CAGR﹪ | -8.04% | -100.0% |
Sharpe | -0.3 | -0.68 |
Prob. Sharpe Ratio | 33.94% | 8.95% |
Smart Sharpe | -0.29 | -0.66 |
Sortino | -0.32 | -0.69 |
Smart Sortino | -0.31 | -0.67 |
Sortino/√2 | -0.23 | -0.49 |
Smart Sortino/√2 | -0.22 | -0.47 |
Omega | 0.89 | 0.89 |
Max Drawdown | -41.7% | -100.0% |
Longest DD Days | 1064 | 1231 |
Volatility (ann.) | 37.42% | 84.19% |
R^2 | 0.62 | 0.62 |
Information Ratio | 0.05 | 0.05 |
Calmar | -0.19 | -1.0 |
Skew | -10.04 | -17.38 |
Kurtosis | 125.36 | 323.12 |
Expected Daily | -0.08% | -100.0% |
Expected Monthly | -1.45% | -100.0% |
Expected Yearly | -5.95% | -100.0% |
Kelly Criterion | -6.33% | -61.51% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.92% | -8.95% |
Expected Shortfall (cVaR) | -3.92% | -8.95% |
Max Consecutive Wins | 4 | 9 |
Max Consecutive Losses | 6 | 7 |
Gain/Pain Ratio | -0.11 | -0.46 |
Gain/Pain (1M) | -0.24 | -0.68 |
Payoff Ratio | 0.65 | 0.41 |
Profit Factor | 0.89 | 0.54 |
Common Sense Ratio | 0.99 | 0.66 |
CPC Index | 0.34 | 0.12 |
Tail Ratio | 1.11 | 1.23 |
Outlier Win Ratio | 5.44 | 8.55 |
Outlier Loss Ratio | 2.62 | 1.66 |
MTD | 0.5% | 0.0% |
3M | 4.87% | 0.0% |
6M | 8.84% | 0.0% |
YTD | 9.24% | 0.0% |
1Y | -18.95% | -100.0% |
3Y (ann.) | -12.97% | -100.0% |
5Y (ann.) | -8.04% | -100.0% |
10Y (ann.) | -8.04% | -100.0% |
All-time (ann.) | -8.04% | -100.0% |
Best Day | 4.75% | 8.19% |
Worst Day | -30.6% | -100.0% |
Best Month | 14.62% | 14.61% |
Worst Month | -34.2% | -100.0% |
Best Year | 9.24% | 8.91% |
Worst Year | -25.81% | -100.0% |
Avg. Drawdown | -7.25% | -10.63% |
Avg. Drawdown Days | 144 | 120 |
Recovery Factor | -0.63 | -1.0 |
Ulcer Index | 0.31 | 0.7 |
Serenity Index | -0.04 | -0.06 |
Avg. Up Month | 5.29% | 6.02% |
Avg. Down Month | -23.53% | -43.46% |
Win Days | 58.1% | 53.3% |
Win Month | 85.71% | 58.33% |
Win Quarter | 77.78% | 66.67% |
Win Year | 60.0% | 50.0% |
Beta | 0.35 | - |
Alpha | 0.09 | - |
Correlation | 78.76% | - |
Treynor Ratio | -75.47% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 2.46 | 2.61 | 1.06 | + |
2022 | -6.40 | -17.47 | 2.73 | - |
2023 | 8.91 | 7.20 | 0.81 | - |
2024 | -100.00 | -25.81 | 0.26 | + |
2025 | 0.00 | 9.24 | inf | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-08-11 | 2025-07-10 | -41.70 | 1064 |
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 |