Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 95.0% | 96.0% |
Cumulative Return | 12.59% | 13.51% |
CAGR﹪ | 4.85% | 5.2% |
Sharpe | -20.2 | -18.92 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -17.24 | -16.15 |
Sortino | -12.89 | -12.82 |
Smart Sortino | -11.0 | -10.94 |
Sortino/√2 | -9.11 | -9.06 |
Smart Sortino/√2 | -7.78 | -7.74 |
Omega | 0.02 | 0.02 |
Max Drawdown | -15.87% | -14.75% |
Longest DD Days | 270 | 148 |
Volatility (ann.) | 10.06% | 10.72% |
R^2 | 0.64 | 0.64 |
Information Ratio | -0.0 | -0.0 |
Calmar | 0.31 | 0.35 |
Skew | -8.94 | -4.15 |
Kurtosis | 216.29 | 175.67 |
Expected Daily | 0.02% | 0.02% |
Expected Monthly | 0.4% | 0.42% |
Expected Yearly | 4.03% | 4.32% |
Kelly Criterion | 0.93% | 6.42% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.02% | -1.09% |
Expected Shortfall (cVaR) | -1.02% | -1.09% |
Max Consecutive Wins | 13 | 8 |
Max Consecutive Losses | 7 | 5 |
Gain/Pain Ratio | 0.24 | 0.21 |
Gain/Pain (1M) | 0.86 | 1.4 |
Payoff Ratio | 0.77 | 0.94 |
Profit Factor | 1.24 | 1.21 |
Common Sense Ratio | 1.89 | 1.59 |
CPC Index | 0.54 | 0.63 |
Tail Ratio | 1.53 | 1.31 |
Outlier Win Ratio | 5.15 | 4.23 |
Outlier Loss Ratio | 4.8 | 4.32 |
MTD | 1.13% | 1.67% |
3M | 9.89% | 9.14% |
6M | 5.78% | 5.71% |
YTD | 4.41% | 5.01% |
1Y | 5.36% | 6.3% |
3Y (ann.) | 4.85% | 5.2% |
5Y (ann.) | 4.85% | 5.2% |
10Y (ann.) | 4.85% | 5.2% |
All-time (ann.) | 4.85% | 5.2% |
Best Day | 6.22% | 8.83% |
Worst Day | -11.76% | -11.2% |
Best Month | 8.13% | 4.76% |
Worst Month | -8.55% | -6.05% |
Best Year | 7.66% | 6.51% |
Worst Year | 0.16% | 1.48% |
Avg. Drawdown | -0.67% | -0.62% |
Avg. Drawdown Days | 17 | 13 |
Recovery Factor | 0.79 | 0.92 |
Ulcer Index | 0.02 | 0.02 |
Serenity Index | -61.12 | -92.9 |
Avg. Up Month | 1.59% | 1.31% |
Avg. Down Month | -1.73% | -1.15% |
Win Days | 56.97% | 54.55% |
Win Month | 63.33% | 66.67% |
Win Quarter | 63.64% | 81.82% |
Win Year | 100.0% | 100.0% |
Beta | 0.75 | - |
Alpha | 0.01 | - |
Correlation | 80.09% | - |
Treynor Ratio | -914.47% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 6.51 | 7.66 | 1.18 | + |
2021 | 1.48 | 0.16 | 0.11 | - |
2022 | 5.01 | 4.41 | 0.88 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-09-06 | 2022-06-03 | -15.87 | 270 |
2020-02-25 | 2020-04-24 | -6.25 | 59 |
2021-01-05 | 2021-08-09 | -1.19 | 216 |
2022-06-14 | 2022-06-28 | -0.51 | 14 |
2020-05-29 | 2020-06-17 | -0.44 | 19 |
2020-07-03 | 2020-07-16 | -0.36 | 13 |
2020-10-02 | 2020-10-12 | -0.31 | 10 |
2020-05-06 | 2020-05-13 | -0.29 | 7 |
2020-06-23 | 2020-06-26 | -0.27 | 3 |
2020-02-04 | 2020-02-11 | -0.23 | 7 |