Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 97.0% | 99.0% |
Cumulative Return | 1.4% | 4.79% |
CAGR﹪ | 2.29% | 7.88% |
Sharpe | -3.48 | -5.4 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -1.4 | -2.17 |
Sortino | -5.14 | -6.41 |
Smart Sortino | -2.06 | -2.58 |
Sortino/√2 | -3.63 | -4.53 |
Smart Sortino/√2 | -1.46 | -1.82 |
Omega | 0.25 | 0.25 |
Max Drawdown | -27.89% | -20.65% |
Longest DD Days | 127 | 108 |
Volatility (ann.) | 55.13% | 36.08% |
R^2 | 0.5 | 0.5 |
Information Ratio | 0.0 | 0.0 |
Calmar | 0.08 | 0.38 |
Skew | 3.34 | 0.54 |
Kurtosis | 77.91 | 18.16 |
Expected Daily | 0.01% | 0.03% |
Expected Monthly | 0.17% | 0.59% |
Expected Yearly | 0.7% | 2.37% |
Kelly Criterion | 6.6% | 11.15% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -5.65% | -3.68% |
Expected Shortfall (cVaR) | -5.65% | -3.68% |
Max Consecutive Wins | 5 | 7 |
Max Consecutive Losses | 9 | 6 |
Gain/Pain Ratio | 0.18 | 0.1 |
Gain/Pain (1M) | 2.14 | 1.0 |
Payoff Ratio | 1.31 | 1.39 |
Profit Factor | 1.18 | 1.1 |
Common Sense Ratio | 1.44 | 1.08 |
CPC Index | 0.72 | 0.74 |
Tail Ratio | 1.22 | 0.98 |
Outlier Win Ratio | 5.93 | 4.41 |
Outlier Loss Ratio | 6.06 | 4.11 |
MTD | -0.69% | -2.27% |
3M | 2.28% | -3.8% |
6M | 1.84% | 2.16% |
YTD | -0.08% | -5.9% |
1Y | 1.4% | 4.79% |
3Y (ann.) | 2.29% | 7.88% |
5Y (ann.) | 2.29% | 7.88% |
10Y (ann.) | 2.29% | 7.88% |
All-time (ann.) | 2.29% | 7.88% |
Best Day | 34.01% | 14.12% |
Worst Day | -25.87% | -12.97% |
Best Month | 3.39% | 5.1% |
Worst Month | -2.95% | -5.38% |
Best Year | 1.49% | 11.36% |
Worst Year | -0.08% | -5.9% |
Avg. Drawdown | -5.74% | -4.6% |
Avg. Drawdown Days | 30 | 23 |
Recovery Factor | 0.05 | 0.23 |
Ulcer Index | 0.03 | 0.07 |
Serenity Index | -110.84 | -16.1 |
Avg. Up Month | 2.18% | 4.36% |
Avg. Down Month | -0.89% | -2.61% |
Win Days | 47.06% | 48.39% |
Win Month | 50.0% | 50.0% |
Win Quarter | 33.33% | 33.33% |
Win Year | 50.0% | 50.0% |
Beta | 1.08 | - |
Alpha | 0.02 | - |
Correlation | 70.48% | - |
Treynor Ratio | -648.72% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 11.36 | 1.49 | 0.13 | - |
2022 | -5.90 | -0.08 | 0.01 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-27 | 2022-02-25 | -27.89 | 29 |
2021-08-24 | 2021-12-29 | -5.94 | 127 |
2022-01-06 | 2022-01-18 | -2.82 | 12 |
2021-07-16 | 2021-08-20 | -1.54 | 35 |
2022-01-19 | 2022-01-24 | -1.51 | 5 |
2022-01-25 | 2022-01-26 | -0.27 | 1 |
2022-01-03 | 2022-01-04 | -0.22 | 1 |