Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 97.0% | 100.0% |
Cumulative Return | 14.34% | 56.14% |
CAGR﹪ | 5.35% | 18.93% |
Sharpe | -1.69 | -2.01 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.17 | -1.4 |
Sortino | -2.21 | -2.53 |
Smart Sortino | -1.54 | -1.76 |
Sortino/√2 | -1.56 | -1.79 |
Smart Sortino/√2 | -1.09 | -1.24 |
Omega | 0.66 | 0.66 |
Max Drawdown | -37.98% | -33.79% |
Longest DD Days | 373 | 172 |
Volatility (ann.) | 34.34% | 24.08% |
R^2 | 0.21 | 0.21 |
Information Ratio | -0.02 | -0.02 |
Calmar | 0.14 | 0.56 |
Skew | 0.06 | -0.6 |
Kurtosis | 84.3 | 15.11 |
Expected Daily | 0.02% | 0.07% |
Expected Monthly | 0.43% | 1.45% |
Expected Yearly | 3.41% | 11.78% |
Kelly Criterion | -2.77% | 3.52% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.51% | -2.41% |
Expected Shortfall (cVaR) | -3.51% | -2.41% |
Max Consecutive Wins | 11 | 7 |
Max Consecutive Losses | 6 | 6 |
Gain/Pain Ratio | 0.08 | 0.2 |
Gain/Pain (1M) | 0.65 | 1.37 |
Payoff Ratio | 0.79 | 0.81 |
Profit Factor | 1.08 | 1.2 |
Common Sense Ratio | 1.05 | 1.03 |
CPC Index | 0.47 | 0.55 |
Tail Ratio | 0.96 | 0.86 |
Outlier Win Ratio | 3.83 | 4.52 |
Outlier Loss Ratio | 3.57 | 4.51 |
MTD | -9.05% | -2.77% |
3M | -10.36% | -6.4% |
6M | -11.43% | -1.57% |
YTD | -9.12% | -8.04% |
1Y | -16.34% | 13.29% |
3Y (ann.) | 5.35% | 18.93% |
5Y (ann.) | 5.35% | 18.93% |
10Y (ann.) | 5.35% | 18.93% |
All-time (ann.) | 5.35% | 18.93% |
Best Day | 27.98% | 9.39% |
Worst Day | -26.91% | -11.98% |
Best Month | 11.02% | 12.82% |
Worst Month | -14.57% | -12.35% |
Best Year | 13.76% | 29.88% |
Worst Year | -9.12% | -8.04% |
Avg. Drawdown | -4.7% | -1.75% |
Avg. Drawdown Days | 37 | 10 |
Recovery Factor | 0.38 | 1.66 |
Ulcer Index | 0.11 | 0.07 |
Serenity Index | -0.91 | -0.78 |
Avg. Up Month | 3.76% | 4.6% |
Avg. Down Month | -5.51% | -5.42% |
Win Days | 54.58% | 56.7% |
Win Month | 64.52% | 70.97% |
Win Quarter | 63.64% | 81.82% |
Win Year | 50.0% | 75.0% |
Beta | 0.65 | - |
Alpha | -0.02 | - |
Correlation | 45.85% | - |
Treynor Ratio | -130.98% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 10.80 | 13.22 | 1.22 | + |
2020 | 17.99 | 13.76 | 0.76 | - |
2021 | 29.88 | -2.31 | -0.08 | - |
2022 | -8.04 | -9.12 | 1.13 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-02-17 | 2022-02-25 | -37.98 | 373 |
2020-01-17 | 2020-11-05 | -35.59 | 293 |
2019-09-16 | 2019-10-17 | -5.14 | 31 |
2021-01-26 | 2021-02-09 | -4.93 | 14 |
2019-11-08 | 2019-12-12 | -4.63 | 34 |
2019-08-05 | 2019-09-05 | -3.48 | 31 |
2020-11-10 | 2020-11-20 | -2.90 | 10 |
2020-12-21 | 2020-12-30 | -2.18 | 9 |
2020-11-30 | 2020-12-03 | -2.00 | 3 |
2020-01-06 | 2020-01-09 | -1.72 | 3 |