Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -13.82% | 20.34% |
CAGR﹪ | -7.32% | 9.93% |
Sharpe | -8.72 | -5.3 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.3 | -4.44 |
Sortino | -7.99 | -5.64 |
Smart Sortino | -6.69 | -4.72 |
Sortino/√2 | -5.65 | -3.99 |
Smart Sortino/√2 | -4.73 | -3.34 |
Omega | 0.11 | 0.11 |
Max Drawdown | -31.85% | -51.26% |
Longest DD Days | 479 | 127 |
Volatility (ann.) | 24.44% | 36.2% |
R^2 | 0.2 | 0.2 |
Information Ratio | -0.04 | -0.04 |
Calmar | -0.23 | 0.19 |
Skew | -10.13 | -5.23 |
Kurtosis | 185.86 | 105.41 |
Expected Daily | -0.03% | 0.04% |
Expected Monthly | -0.62% | 0.77% |
Expected Yearly | -4.84% | 6.37% |
Kelly Criterion | -27.04% | 4.49% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.55% | -3.68% |
Expected Shortfall (cVaR) | -2.55% | -3.68% |
Max Consecutive Wins | 5 | 11 |
Max Consecutive Losses | 6 | 4 |
Gain/Pain Ratio | -0.05 | 0.13 |
Gain/Pain (1M) | -0.27 | 0.7 |
Payoff Ratio | 0.68 | 0.85 |
Profit Factor | 0.95 | 1.13 |
Common Sense Ratio | 1.06 | 1.04 |
CPC Index | 0.32 | 0.54 |
Tail Ratio | 1.11 | 0.92 |
Outlier Win Ratio | 4.35 | 2.94 |
Outlier Loss Ratio | 5.19 | 3.09 |
MTD | -21.06% | -30.02% |
3M | -22.48% | -36.5% |
6M | -21.66% | -35.02% |
YTD | -21.79% | -34.42% |
1Y | -20.82% | -22.51% |
3Y (ann.) | -7.32% | 9.93% |
5Y (ann.) | -7.32% | 9.93% |
10Y (ann.) | -7.32% | 9.93% |
All-time (ann.) | -7.32% | 9.93% |
Best Day | 8.48% | 20.04% |
Worst Day | -26.7% | -33.28% |
Best Month | 4.3% | 15.51% |
Worst Month | -21.06% | -30.02% |
Best Year | 9.94% | 50.67% |
Worst Year | -21.79% | -34.42% |
Avg. Drawdown | -5.29% | -3.27% |
Avg. Drawdown Days | 62 | 13 |
Recovery Factor | -0.43 | 0.4 |
Ulcer Index | 0.06 | 0.07 |
Serenity Index | -19.65 | -17.95 |
Avg. Up Month | 1.46% | 3.89% |
Avg. Down Month | -10.99% | -18.16% |
Win Days | 48.35% | 56.21% |
Win Month | 54.17% | 66.67% |
Win Quarter | 44.44% | 77.78% |
Win Year | 66.67% | 66.67% |
Beta | 0.3 | - |
Alpha | -0.09 | - |
Correlation | 44.16% | - |
Treynor Ratio | -2394.65% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 50.67 | 9.94 | 0.20 | - |
2021 | 21.79 | 0.22 | 0.01 | - |
2022 | -34.42 | -21.79 | 0.63 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-11-03 | 2022-02-25 | -31.85 | 479 |
2020-04-22 | 2020-07-31 | -7.84 | 100 |
2020-03-19 | 2020-04-21 | -6.38 | 33 |
2020-09-30 | 2020-10-29 | -3.56 | 29 |
2020-08-27 | 2020-09-02 | -2.35 | 6 |
2020-09-09 | 2020-09-21 | -2.09 | 12 |
2020-08-03 | 2020-08-20 | -1.86 | 17 |
2020-03-16 | 2020-03-18 | -0.96 | 2 |
2020-08-24 | 2020-08-25 | -0.62 | 1 |
2020-09-03 | 2020-09-07 | -0.44 | 4 |