Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 100.0% | 100.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -9.47% | 44.01% |
CAGR﹪ | -4.12% | 16.68% |
Sharpe | -2.45 | -1.91 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -2.34 | -1.83 |
Sortino | -2.91 | -2.43 |
Smart Sortino | -2.77 | -2.31 |
Sortino/√2 | -2.05 | -1.72 |
Smart Sortino/√2 | -1.96 | -1.64 |
Omega | 0.61 | 0.61 |
Max Drawdown | -52.16% | -22.99% |
Longest DD Days | 273 | 198 |
Volatility (ann.) | 28.5% | 25.83% |
R^2 | 0.12 | 0.12 |
Information Ratio | -0.04 | -0.04 |
Calmar | -0.08 | 0.73 |
Skew | -1.26 | -0.5 |
Kurtosis | 12.3 | 12.12 |
Expected Daily | -0.02% | 0.07% |
Expected Monthly | -0.34% | 1.27% |
Expected Yearly | -3.26% | 12.93% |
Kelly Criterion | -7.48% | 3.19% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.95% | -2.6% |
Expected Shortfall (cVaR) | -2.95% | -2.6% |
Max Consecutive Wins | 8 | 7 |
Max Consecutive Losses | 11 | 5 |
Gain/Pain Ratio | -0.0 | 0.17 |
Gain/Pain (1M) | -0.01 | 0.98 |
Payoff Ratio | 0.72 | 0.88 |
Profit Factor | 1.0 | 1.17 |
Common Sense Ratio | 0.86 | 1.02 |
CPC Index | 0.4 | 0.56 |
Tail Ratio | 0.87 | 0.88 |
Outlier Win Ratio | 4.09 | 4.1 |
Outlier Loss Ratio | 4.03 | 4.9 |
MTD | -6.82% | 5.72% |
3M | -11.3% | -9.94% |
6M | -41.02% | -10.09% |
YTD | -46.25% | -15.6% |
1Y | -44.29% | -6.12% |
3Y (ann.) | -4.12% | 16.68% |
5Y (ann.) | -4.12% | 16.68% |
10Y (ann.) | -4.12% | 16.68% |
All-time (ann.) | -4.12% | 16.68% |
Best Day | 10.2% | 9.39% |
Worst Day | -13.96% | -11.98% |
Best Month | 15.17% | 12.82% |
Worst Month | -32.01% | -10.21% |
Best Year | 39.5% | 31.37% |
Worst Year | -46.25% | -15.6% |
Avg. Drawdown | -3.4% | -2.06% |
Avg. Drawdown Days | 18 | 11 |
Recovery Factor | -0.18 | 1.91 |
Ulcer Index | 0.18 | 0.07 |
Serenity Index | -0.33 | -1.06 |
Avg. Up Month | 4.72% | 4.87% |
Avg. Down Month | -8.51% | -4.08% |
Win Days | 54.86% | 54.61% |
Win Month | 62.07% | 65.52% |
Win Quarter | 63.64% | 72.73% |
Win Year | 66.67% | 66.67% |
Beta | 0.38 | - |
Alpha | -0.08 | - |
Correlation | 34.88% | - |
Treynor Ratio | -284.52% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 31.37 | 39.50 | 1.26 | + |
2021 | 29.88 | 20.73 | 0.69 | - |
2022 | -15.60 | -46.25 | 2.96 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-21 | 2022-07-21 | -52.16 | 273 |
2020-03-11 | 2020-03-26 | -13.59 | 15 |
2020-08-14 | 2020-11-12 | -10.59 | 90 |
2020-04-13 | 2020-05-19 | -7.23 | 36 |
2021-01-15 | 2021-03-11 | -6.32 | 55 |
2021-07-08 | 2021-08-10 | -4.29 | 33 |
2020-06-04 | 2020-07-06 | -4.10 | 32 |
2021-03-17 | 2021-04-16 | -4.04 | 30 |
2020-03-27 | 2020-03-31 | -3.89 | 4 |
2020-12-18 | 2020-12-29 | -2.85 | 11 |