Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 65.0% |
Cumulative Return | -0.05% |
CAGR﹪ | -0.03% |
Sharpe | -0.22 |
Prob. Sharpe Ratio | 38.31% |
Smart Sharpe | -0.22 |
Sortino | -0.31 |
Smart Sortino | -0.3 |
Sortino/√2 | -0.22 |
Smart Sortino/√2 | -0.21 |
Omega | 0.95 |
Max Drawdown | -0.16% |
Longest DD Days | 405 |
Volatility (ann.) | 0.13% |
Calmar | -0.16 |
Skew | -0.17 |
Kurtosis | 4.18 |
Expected Daily | -0.0% |
Expected Monthly | -0.0% |
Expected Yearly | -0.03% |
Kelly Criterion | -2.22% |
Risk of Ruin | 0.0% |
Daily Value-at-Risk | -0.01% |
Expected Shortfall (cVaR) | -0.01% |
Max Consecutive Wins | 8 |
Max Consecutive Losses | 6 |
Gain/Pain Ratio | -0.05 |
Gain/Pain (1M) | -0.2 |
Payoff Ratio | 1.11 |
Profit Factor | 0.95 |
Common Sense Ratio | 0.98 |
CPC Index | 0.49 |
Tail Ratio | 1.03 |
Outlier Win Ratio | 5.99 |
Outlier Loss Ratio | 3.69 |
MTD | 0.0% |
3M | 0.01% |
6M | 0.01% |
YTD | -0.04% |
1Y | -0.07% |
3Y (ann.) | -0.03% |
5Y (ann.) | -0.03% |
10Y (ann.) | -0.03% |
All-time (ann.) | -0.03% |
Best Day | 0.03% |
Worst Day | -0.04% |
Best Month | 0.06% |
Worst Month | -0.07% |
Best Year | -0.01% |
Worst Year | -0.04% |
Avg. Drawdown | -0.06% |
Avg. Drawdown Days | 90 |
Recovery Factor | -0.31 |
Ulcer Index | 0.0 |
Serenity Index | -0.04 |
Avg. Up Month | 0.03% |
Avg. Down Month | -0.02% |
Win Days | 46.15% |
Win Month | 42.11% |
Win Quarter | 37.5% |
Win Year | 0.0% |
Year | Return | Cumulative |
---|---|---|
2021 | -0.01% | -0.01% |
2022 | -0.04% | -0.04% |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-27 | 2022-12-06 | -0.16 | 405 |
2021-06-28 | 2021-09-10 | -0.09 | 74 |
2021-09-13 | 2021-10-22 | -0.05 | 39 |
2021-03-17 | 2021-06-25 | -0.05 | 100 |
2021-03-04 | 2021-03-12 | -0.04 | 8 |
2021-03-01 | 2021-03-03 | -0.02 | 2 |
2021-03-15 | 2021-03-16 | -0.00 | 1 |