Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 92.0% | 75.0% |
Cumulative Return | -26.73% | -18.76% |
CAGR﹪ | -12.52% | -8.55% |
Sharpe | -6.65 | -22.29 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -5.25 | -17.59 |
Sortino | -7.25 | -12.94 |
Smart Sortino | -5.72 | -10.21 |
Sortino/√2 | -5.13 | -9.15 |
Smart Sortino/√2 | -4.05 | -7.22 |
Omega | 0.21 | 0.21 |
Max Drawdown | -34.64% | -23.19% |
Longest DD Days | 764 | 175 |
Volatility (ann.) | 32.81% | 9.79% |
R^2 | 0.09 | 0.09 |
Information Ratio | 0.0 | 0.0 |
Calmar | -0.36 | -0.37 |
Skew | -1.33 | -14.24 |
Kurtosis | 30.24 | 250.21 |
Expected Daily | -0.06% | -0.04% |
Expected Monthly | -1.07% | -0.71% |
Expected Yearly | -7.48% | -5.06% |
Kelly Criterion | -11.58% | -54.84% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -3.44% | -1.05% |
Expected Shortfall (cVaR) | -3.44% | -1.05% |
Max Consecutive Wins | 6 | 6 |
Max Consecutive Losses | 5 | 8 |
Gain/Pain Ratio | -0.09 | -0.38 |
Gain/Pain (1M) | -0.47 | -0.61 |
Payoff Ratio | 0.89 | 0.42 |
Profit Factor | 0.91 | 0.62 |
Common Sense Ratio | 0.76 | 0.62 |
CPC Index | 0.38 | 0.14 |
Tail Ratio | 0.83 | 1.0 |
Outlier Win Ratio | 4.94 | 40.08 |
Outlier Loss Ratio | 4.46 | 13.7 |
MTD | -21.37% | -18.66% |
3M | -23.9% | -21.52% |
6M | -25.22% | -22.75% |
YTD | -23.86% | -21.66% |
1Y | -24.78% | -22.39% |
3Y (ann.) | -12.52% | -8.55% |
5Y (ann.) | -12.52% | -8.55% |
10Y (ann.) | -12.52% | -8.55% |
All-time (ann.) | -12.52% | -8.55% |
Best Day | 14.52% | 1.61% |
Worst Day | -20.11% | -11.62% |
Best Month | 5.35% | 3.76% |
Worst Month | -21.37% | -18.66% |
Best Year | 5.48% | 4.15% |
Worst Year | -23.86% | -21.66% |
Avg. Drawdown | -14.69% | -1.22% |
Avg. Drawdown Days | 208 | 22 |
Recovery Factor | -0.77 | -0.81 |
Ulcer Index | 0.07 | 0.02 |
Serenity Index | -21.96 | -54.49 |
Avg. Up Month | 1.39% | 1.04% |
Avg. Down Month | -2.82% | -2.8% |
Win Days | 47.6% | 54.12% |
Win Month | 42.86% | 57.14% |
Win Quarter | 40.0% | 60.0% |
Win Year | 25.0% | 50.0% |
Beta | 1.01 | - |
Alpha | 0.0 | - |
Correlation | 30.02% | - |
Treynor Ratio | -722.66% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2019 | 1.03 | -5.25 | -5.08 | - |
2020 | 4.15 | 5.48 | 1.32 | + |
2021 | -1.44 | -3.72 | 2.58 | - |
2022 | -21.66 | -23.86 | 1.10 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-01-23 | 2022-02-25 | -34.64 | 764 |
2019-11-11 | 2019-12-18 | -8.57 | 37 |
2019-12-20 | 2020-01-14 | -8.23 | 25 |
2020-01-15 | 2020-01-22 | -7.34 | 7 |