Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | 35.84% | 58.48% |
CAGR﹪ | 15.69% | 24.5% |
Sharpe | -6.87 | -5.83 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -4.67 | -3.96 |
Sortino | -7.58 | -6.88 |
Smart Sortino | -5.15 | -4.67 |
Sortino/√2 | -5.36 | -4.87 |
Smart Sortino/√2 | -3.64 | -3.31 |
Omega | 0.2 | 0.2 |
Max Drawdown | -26.09% | -28.62% |
Longest DD Days | 373 | 105 |
Volatility (ann.) | 27.7% | 31.24% |
R^2 | 0.7 | 0.7 |
Information Ratio | -0.03 | -0.03 |
Calmar | 0.6 | 0.86 |
Skew | 1.15 | 1.57 |
Kurtosis | 80.92 | 106.81 |
Expected Daily | 0.06% | 0.09% |
Expected Monthly | 1.18% | 1.79% |
Expected Yearly | 10.75% | 16.59% |
Kelly Criterion | 5.27% | 10.24% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.8% | -3.13% |
Expected Shortfall (cVaR) | -2.8% | -3.13% |
Max Consecutive Wins | 11 | 10 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | 0.17 | 0.26 |
Gain/Pain (1M) | 1.75 | 3.28 |
Payoff Ratio | 0.94 | 0.95 |
Profit Factor | 1.17 | 1.26 |
Common Sense Ratio | 1.37 | 1.45 |
CPC Index | 0.6 | 0.67 |
Tail Ratio | 1.17 | 1.15 |
Outlier Win Ratio | 3.54 | 3.55 |
Outlier Loss Ratio | 3.24 | 3.18 |
MTD | -1.14% | -5.23% |
3M | 0.7% | -6.68% |
6M | 0.85% | -0.52% |
YTD | 2.29% | -7.9% |
1Y | -4.72% | 14.79% |
3Y (ann.) | 15.69% | 24.5% |
5Y (ann.) | 15.69% | 24.5% |
10Y (ann.) | 15.69% | 24.5% |
All-time (ann.) | 15.69% | 24.5% |
Best Day | 22.48% | 27.14% |
Worst Day | -19.39% | -23.62% |
Best Month | 12.88% | 10.28% |
Worst Month | -5.47% | -5.63% |
Best Year | 36.18% | 35.44% |
Worst Year | -2.49% | -7.9% |
Avg. Drawdown | -3.24% | -2.77% |
Avg. Drawdown Days | 31 | 14 |
Recovery Factor | 1.37 | 2.04 |
Ulcer Index | 0.07 | 0.04 |
Serenity Index | -12.03 | -46.53 |
Avg. Up Month | 3.94% | 4.55% |
Avg. Down Month | -1.89% | -3.11% |
Win Days | 53.99% | 56.36% |
Win Month | 57.69% | 69.23% |
Win Quarter | 77.78% | 66.67% |
Win Year | 66.67% | 66.67% |
Beta | 0.74 | - |
Alpha | -0.01 | - |
Correlation | 83.7% | - |
Treynor Ratio | -894.81% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 35.44 | 36.18 | 1.02 | + |
2021 | 27.04 | -2.49 | -0.09 | - |
2022 | -7.90 | 2.29 | -0.29 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-02-17 | 2022-02-25 | -26.09 | 373 |
2020-01-21 | 2020-07-02 | -15.70 | 163 |
2021-01-26 | 2021-02-15 | -5.26 | 20 |
2020-08-27 | 2020-09-28 | -3.13 | 32 |
2020-10-15 | 2020-11-02 | -2.81 | 18 |
2020-11-30 | 2020-12-22 | -2.56 | 22 |
2020-11-10 | 2020-11-13 | -2.45 | 3 |
2020-07-07 | 2020-07-20 | -2.15 | 13 |
2020-12-24 | 2020-12-30 | -1.70 | 6 |
2020-08-13 | 2020-08-21 | -1.46 | 8 |