Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 98.0% |
Cumulative Return | 26.06% | 42.03% |
CAGR﹪ | 9.46% | 14.68% |
Sharpe | -6.61 | 0.22 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -3.53 | 0.12 |
Sortino | -8.24 | 2.01 |
Smart Sortino | -4.41 | 1.07 |
Sortino/√2 | -5.83 | 1.42 |
Smart Sortino/√2 | -3.12 | 0.76 |
Omega | 0.14 | 0.14 |
Max Drawdown | -27.89% | -91.02% |
Longest DD Days | 268 | 479 |
Volatility (ann.) | 29.57% | 561.62% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.04 | -0.04 |
Calmar | 0.34 | 0.16 |
Skew | 5.32 | 24.88 |
Kurtosis | 230.39 | 627.64 |
Expected Daily | 0.04% | 0.05% |
Expected Monthly | 0.75% | 1.14% |
Expected Yearly | 5.96% | 9.17% |
Kelly Criterion | 6.58% | -12.42% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.01% | -56.88% |
Expected Shortfall (cVaR) | -3.01% | -56.88% |
Max Consecutive Wins | 9 | 10 |
Max Consecutive Losses | 7 | 8 |
Gain/Pain Ratio | 0.18 | 2.49 |
Gain/Pain (1M) | 2.24 | 19.66 |
Payoff Ratio | 1.2 | 0.73 |
Profit Factor | 1.18 | 3.49 |
Common Sense Ratio | 1.27 | 3.86 |
CPC Index | 0.69 | 1.34 |
Tail Ratio | 1.07 | 1.11 |
Outlier Win Ratio | 4.33 | 0.87 |
Outlier Loss Ratio | 4.62 | 2.36 |
MTD | -0.69% | 0.43% |
3M | 2.28% | 4.33% |
6M | 1.84% | 4.85% |
YTD | -0.08% | 3.01% |
1Y | 4.14% | 4.89% |
3Y (ann.) | 9.46% | 14.68% |
5Y (ann.) | 9.46% | 14.68% |
10Y (ann.) | 9.46% | 14.68% |
All-time (ann.) | 9.46% | 14.68% |
Best Day | 34.01% | 891.28% |
Worst Day | -25.87% | -90.07% |
Best Month | 8.95% | 17.82% |
Worst Month | -2.95% | -8.71% |
Best Year | 23.75% | 47.34% |
Worst Year | -1.18% | -4.43% |
Avg. Drawdown | -3.56% | -11.59% |
Avg. Drawdown Days | 38 | 74 |
Recovery Factor | 0.93 | 0.46 |
Ulcer Index | 0.04 | 0.11 |
Serenity Index | -51.74 | -116.67 |
Avg. Up Month | 2.59% | 5.23% |
Avg. Down Month | -1.63% | -3.17% |
Win Days | 49.13% | 52.56% |
Win Month | 64.52% | 58.06% |
Win Quarter | 63.64% | 45.45% |
Win Year | 50.0% | 50.0% |
Beta | -0.0 | - |
Alpha | 0.13 | - |
Correlation | -0.18% | - |
Treynor Ratio | 7056238.76% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | -2.09 | -1.18 | 0.57 | + |
2020 | 47.34 | 23.75 | 0.50 | - |
2021 | -4.43 | 3.18 | -0.72 | + |
2022 | 3.01 | -0.08 | -0.03 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-27 | 2022-02-25 | -27.89 | 29 |
2021-04-12 | 2022-01-05 | -8.12 | 268 |
2020-03-11 | 2020-03-27 | -7.09 | 16 |
2020-03-31 | 2020-07-24 | -6.65 | 115 |
2019-09-04 | 2020-03-05 | -6.33 | 183 |
2020-11-03 | 2021-04-05 | -5.83 | 153 |
2022-01-06 | 2022-01-18 | -2.82 | 12 |
2020-10-08 | 2020-11-02 | -2.75 | 25 |
2020-08-27 | 2020-09-02 | -2.53 | 6 |
2020-09-09 | 2020-09-25 | -2.02 | 16 |