Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 76.21% | -11.14% |
CAGR﹪ | 23.47% | -4.3% |
Sharpe | -6.54 | -6.34 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.39 | -4.26 |
Sortino | -7.48 | -6.5 |
Smart Sortino | -5.03 | -4.37 |
Sortino/√2 | -5.29 | -4.59 |
Smart Sortino/√2 | -3.56 | -3.09 |
Omega | 0.2 | 0.2 |
Max Drawdown | -28.62% | -52.0% |
Longest DD Days | 105 | 324 |
Volatility (ann.) | 28.11% | 32.7% |
R^2 | 0.44 | 0.44 |
Information Ratio | 0.06 | 0.06 |
Calmar | 0.82 | -0.08 |
Skew | 1.69 | -5.29 |
Kurtosis | 127.8 | 115.3 |
Expected Daily | 0.08% | -0.02% |
Expected Monthly | 1.73% | -0.36% |
Expected Yearly | 15.22% | -2.91% |
Kelly Criterion | 5.97% | -2.08% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.81% | -3.38% |
Expected Shortfall (cVaR) | -2.81% | -3.38% |
Max Consecutive Wins | 10 | 11 |
Max Consecutive Losses | 5 | 8 |
Gain/Pain Ratio | 0.27 | 0.01 |
Gain/Pain (1M) | 3.42 | 0.06 |
Payoff Ratio | 0.9 | 0.79 |
Profit Factor | 1.27 | 1.01 |
Common Sense Ratio | 1.41 | 0.9 |
CPC Index | 0.63 | 0.44 |
Tail Ratio | 1.11 | 0.89 |
Outlier Win Ratio | 4.03 | 3.66 |
Outlier Loss Ratio | 4.72 | 3.53 |
MTD | -5.23% | -30.02% |
3M | -6.68% | -37.47% |
6M | -0.52% | -36.47% |
YTD | -7.9% | -34.77% |
1Y | 14.79% | -27.03% |
3Y (ann.) | 23.47% | -4.3% |
5Y (ann.) | 23.47% | -4.3% |
10Y (ann.) | 23.47% | -4.3% |
All-time (ann.) | 23.47% | -4.3% |
Best Day | 27.14% | 20.04% |
Worst Day | -23.62% | -33.28% |
Best Month | 10.28% | 15.5% |
Worst Month | -5.63% | -30.02% |
Best Year | 37.71% | 15.15% |
Worst Year | -7.9% | -34.77% |
Avg. Drawdown | -2.51% | -4.22% |
Avg. Drawdown Days | 15 | 26 |
Recovery Factor | 2.66 | -0.21 |
Ulcer Index | 0.03 | 0.1 |
Serenity Index | -49.21 | -8.07 |
Avg. Up Month | 4.28% | 3.82% |
Avg. Down Month | -2.93% | -10.84% |
Win Days | 55.51% | 54.96% |
Win Month | 66.67% | 63.64% |
Win Quarter | 75.0% | 58.33% |
Win Year | 75.0% | 75.0% |
Beta | 0.57 | - |
Alpha | 0.24 | - |
Correlation | 66.37% | - |
Treynor Ratio | -1093.65% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 9.56 | 9.36 | 0.98 | - |
2020 | 7.98 | 37.71 | 4.72 | + |
2021 | 15.15 | 27.04 | 1.79 | + |
2022 | -34.77 | -7.90 | 0.23 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-06 | 2022-02-25 | -28.62 | 50 |
2020-02-21 | 2020-06-05 | -18.08 | 105 |
2020-09-03 | 2020-10-12 | -7.86 | 39 |
2021-08-26 | 2021-11-03 | -6.36 | 69 |
2021-11-25 | 2021-12-29 | -5.47 | 34 |
2021-04-13 | 2021-07-05 | -5.44 | 83 |
2020-10-19 | 2020-11-09 | -5.31 | 21 |
2021-01-26 | 2021-03-22 | -4.39 | 55 |
2019-09-06 | 2019-11-11 | -4.34 | 66 |
2020-06-09 | 2020-07-02 | -3.81 | 23 |