Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -9.47% | -5.9% |
CAGR﹪ | -4.12% | -2.54% |
Sharpe | -7.39 | -5.58 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.2 | -5.44 |
Sortino | -7.32 | -5.93 |
Smart Sortino | -7.13 | -5.77 |
Sortino/√2 | -5.18 | -4.19 |
Smart Sortino/√2 | -5.04 | -4.08 |
Omega | 0.22 | 0.22 |
Max Drawdown | -52.16% | -51.26% |
Longest DD Days | 273 | 273 |
Volatility (ann.) | 28.29% | 36.57% |
R^2 | 0.41 | 0.41 |
Information Ratio | -0.01 | -0.01 |
Calmar | -0.08 | -0.05 |
Skew | -1.37 | -4.31 |
Kurtosis | 13.27 | 86.77 |
Expected Daily | -0.02% | -0.01% |
Expected Monthly | -0.34% | -0.21% |
Expected Yearly | -3.26% | -2.01% |
Kelly Criterion | 2.47% | -3.17% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.93% | -3.77% |
Expected Shortfall (cVaR) | -2.93% | -3.77% |
Max Consecutive Wins | 9 | 11 |
Max Consecutive Losses | 6 | 5 |
Gain/Pain Ratio | -0.0 | 0.03 |
Gain/Pain (1M) | -0.01 | 0.15 |
Payoff Ratio | 0.86 | 0.79 |
Profit Factor | 1.0 | 1.03 |
Common Sense Ratio | 0.85 | 0.89 |
CPC Index | 0.47 | 0.44 |
Tail Ratio | 0.85 | 0.86 |
Outlier Win Ratio | 4.06 | 3.71 |
Outlier Loss Ratio | 4.12 | 4.09 |
MTD | -6.82% | -5.77% |
3M | -11.3% | -10.58% |
6M | -41.02% | -40.72% |
YTD | -46.25% | -44.68% |
1Y | -44.29% | -42.46% |
3Y (ann.) | -4.12% | -2.54% |
5Y (ann.) | -4.12% | -2.54% |
10Y (ann.) | -4.12% | -2.54% |
All-time (ann.) | -4.12% | -2.54% |
Best Day | 10.2% | 20.04% |
Worst Day | -13.96% | -33.28% |
Best Month | 15.17% | 15.51% |
Worst Month | -32.01% | -30.02% |
Best Year | 39.5% | 39.67% |
Worst Year | -46.25% | -44.68% |
Avg. Drawdown | -3.4% | -3.42% |
Avg. Drawdown Days | 18 | 18 |
Recovery Factor | -0.18 | -0.12 |
Ulcer Index | 0.18 | 0.17 |
Serenity Index | -2.09 | -2.82 |
Avg. Up Month | 4.79% | 4.8% |
Avg. Down Month | -7.29% | -7.03% |
Win Days | 54.95% | 54.36% |
Win Month | 62.07% | 58.62% |
Win Quarter | 63.64% | 63.64% |
Win Year | 66.67% | 66.67% |
Beta | 0.49 | - |
Alpha | -0.03 | - |
Correlation | 63.75% | - |
Treynor Ratio | -1438.6% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 39.67 | 39.50 | 1.00 | - |
2021 | 21.79 | 20.73 | 0.95 | - |
2022 | -44.68 | -46.25 | 1.04 | - |
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 |
2020-04-10 | 2020-05-19 | -7.23 | 39 |
2021-01-15 | 2021-03-12 | -6.32 | 56 |
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 |