Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 93.0% | 97.0% |
Cumulative Return | -26.6% | 2.05% |
CAGR﹪ | -95.65% | 22.79% |
Sharpe | -5.09 | 40.26 |
Prob. Sharpe Ratio | 0.07% | - |
Smart Sharpe | -2.16 | 17.09 |
Sortino | -5.02 | - |
Smart Sortino | -2.13 | - |
Sortino/√2 | -3.55 | - |
Smart Sortino/√2 | -1.51 | - |
Omega | 0.23 | 0.23 |
Max Drawdown | -26.98% | - |
Longest DD Days | - | - |
Volatility (ann.) | 55.4% | 0.49% |
R^2 | 0.01 | 0.01 |
Information Ratio | -0.34 | -0.34 |
Calmar | -3.55 | - |
Skew | -3.12 | 0.2 |
Kurtosis | 10.75 | 0.42 |
Expected Daily | -1.18% | 0.08% |
Expected Monthly | -14.32% | 1.02% |
Expected Yearly | -26.6% | 2.05% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -6.86% | -0.03% |
Expected Shortfall (cVaR) | -6.86% | -0.03% |
Max Consecutive Wins | 3 | 25 |
Max Consecutive Losses | 7 | 0 |
Gain/Pain Ratio | -0.77 | - |
Gain/Pain (1M) | -1.0 | - |
Payoff Ratio | - | - |
Profit Factor | 0.23 | - |
Common Sense Ratio | 0.05 | - |
CPC Index | - | - |
Tail Ratio | 0.22 | 1.91 |
Outlier Win Ratio | 1.06 | 11.96 |
Outlier Loss Ratio | 2.85 | - |
MTD | -25.63% | 1.17% |
3M | -26.6% | 2.05% |
6M | -26.6% | 2.05% |
YTD | -26.6% | 2.05% |
1Y | -26.6% | 2.05% |
3Y (ann.) | -95.65% | 22.79% |
5Y (ann.) | -95.65% | 22.79% |
10Y (ann.) | -95.65% | 22.79% |
All-time (ann.) | -95.65% | 22.79% |
Best Day | 1.76% | 0.12% |
Worst Day | -15.0% | 0.0% |
Best Month | -1.3% | 1.17% |
Worst Month | -25.63% | 0.87% |
Best Year | -26.6% | 2.05% |
Worst Year | -26.6% | 2.05% |
Avg. Drawdown | -26.98% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.99 | - |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | -1.1 | - |
Avg. Up Month | - | - |
Avg. Down Month | - | - |
Win Days | 33.33% | 100.0% |
Win Month | 0.0% | 100.0% |
Win Quarter | 0.0% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | 13.19 | - |
Alpha | -5.41 | - |
Correlation | 11.62% | - |
Treynor Ratio | -2.02% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | 2.05 | -26.60 | -13.00 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-01-24 | 2022-02-25 | -26.98 | 32 |