Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 7.0% | 7.0% |
Time in Market | 98.0% | 98.0% |
Cumulative Return | 26.06% | 53.49% |
CAGR% | 9.46% | 232268.56% |
Sharpe | 0.45 | 1.28 |
Sortino | 0.74 | 299.43 |
Max Drawdown | -27.78% | -90.27% |
Longest DD Days | 268 | 465 |
Volatility (ann.) | 29.46% | 561.05% |
R^2 | 0.0 | 0.0 |
Calmar | 0.34 | -0.03 |
Skew | 5.34 | 24.55 |
Kurtosis | 230.5 | 615.53 |
Expected Daily % | 0.04% | -100.0% |
Expected Monthly % | 0.75% | -100.0% |
Expected Yearly % | 5.96% | -100.0% |
Kelly Criterion | 12.01% | 19.71% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.0% | -9006.52% |
Expected Shortfall (cVaR) | -10.71% | -10.71% |
Payoff Ratio | 1.0 | 0.28 |
Profit Factor | 0.18 | 0.78 |
Common Sense Ratio | 0.2 | 0.75 |
CPC Index | 0.12 | 2.55 |
Tail Ratio | 1.07 | 0.98 |
Outlier Win Ratio | 2145.38 | 1.19 |
Outlier Loss Ratio | 1904.66 | 4.09 |
MTD | -0.63% | 8.64% |
3M | 2.34% | 12.85% |
6M | 1.65% | 13.81% |
YTD | -0.02% | 11.42% |
1Y | 4.19% | 13.46% |
3Y (ann.) | 9.46% | -100.0% |
5Y (ann.) | 9.46% | -100.0% |
10Y (ann.) | 9.46% | -100.0% |
All-time (ann.) | 9.46% | -100.0% |
Best Day | 33.91% | 139533.39% |
Worst Day | -25.76% | -10597.2% |
Best Month | 8.92% | 2707.32% |
Worst Month | -2.94% | -2580.52% |
Best Year | 23.67% | -34.29% |
Worst Year | -1.18% | -100.0% |
Avg. Drawdown | -3.55% | -9.97% |
Avg. Drawdown Days | 38 | 59 |
Recovery Factor | 0.94 | -0.03 |
Ulcer Index | inf | inf |
Avg. Up Month | 3.88% | 561.94% |
Avg. Down Month | -1.5% | -308.52% |
Win Days % | 49.13% | 26.24% |
Win Month % | 64.52% | 29.03% |
Win Quarter % | 63.64% | 27.27% |
Win Year % | 50.0% | 0.0% |
Beta | -0.0 | - |
Alpha | 0.13 | - |
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 |