Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -0.22% | -33.19% |
CAGR﹪ | -0.38% | -50.06% |
Sharpe | -1.98 | -4.43 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -0.67 | -1.51 |
Sortino | -3.46 | -4.78 |
Smart Sortino | -1.18 | -1.63 |
Sortino/√2 | -2.45 | -3.38 |
Smart Sortino/√2 | -0.83 | -1.15 |
Omega | 0.4 | 0.4 |
Max Drawdown | -38.04% | -51.26% |
Longest DD Days | 154 | 127 |
Volatility (ann.) | 88.25% | 58.13% |
R^2 | 0.53 | 0.53 |
Information Ratio | 0.09 | 0.09 |
Calmar | -0.01 | -0.98 |
Skew | 5.44 | -4.1 |
Kurtosis | 84.33 | 51.0 |
Expected Daily | -0.0% | -0.27% |
Expected Monthly | -0.03% | -4.92% |
Expected Yearly | -0.11% | -18.26% |
Kelly Criterion | 9.28% | -2.5% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -9.01% | -6.22% |
Expected Shortfall (cVaR) | -9.01% | -6.22% |
Max Consecutive Wins | 3 | 6 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | 0.26 | -0.22 |
Gain/Pain (1M) | 3.03 | -0.73 |
Payoff Ratio | 1.45 | 0.88 |
Profit Factor | 1.26 | 0.78 |
Common Sense Ratio | 1.66 | 0.53 |
CPC Index | 0.84 | 0.36 |
Tail Ratio | 1.32 | 0.68 |
Outlier Win Ratio | 2.19 | 2.41 |
Outlier Loss Ratio | 5.41 | 2.98 |
MTD | -0.41% | -30.02% |
3M | 1.05% | -36.5% |
6M | -0.45% | -35.02% |
YTD | 0.81% | -34.42% |
1Y | -0.22% | -33.19% |
3Y (ann.) | -0.38% | -50.06% |
5Y (ann.) | -0.38% | -50.06% |
10Y (ann.) | -0.38% | -50.06% |
All-time (ann.) | -0.38% | -50.06% |
Best Day | 56.74% | 20.04% |
Worst Day | -35.42% | -33.28% |
Best Month | 5.57% | 5.02% |
Worst Month | -3.31% | -30.02% |
Best Year | 0.81% | 1.88% |
Worst Year | -1.02% | -34.42% |
Avg. Drawdown | -11.89% | -5.66% |
Avg. Drawdown Days | 51 | 17 |
Recovery Factor | -0.01 | -0.65 |
Ulcer Index | 0.05 | 0.11 |
Serenity Index | -83.94 | -11.16 |
Avg. Up Month | 0.39% | 3.91% |
Avg. Down Month | -0.48% | -10.66% |
Win Days | 46.26% | 52.03% |
Win Month | 37.5% | 37.5% |
Win Quarter | 66.67% | 33.33% |
Win Year | 50.0% | 50.0% |
Beta | 1.11 | - |
Alpha | 0.89 | - |
Correlation | 72.8% | - |
Treynor Ratio | -633.6% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | 1.88 | -1.02 | -0.54 | - |
2022 | -34.42 | 0.81 | -0.02 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-25 | 2022-02-25 | -38.04 | 31 |
2021-08-23 | 2022-01-24 | -8.15 | 154 |
2021-07-29 | 2021-08-04 | -0.72 | 6 |
2021-08-05 | 2021-08-18 | -0.63 | 13 |