| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 50.0% | 99.0% |
| Cumulative Return | 17.05% | 35.08% |
| CAGR﹪ | 3.41% | 6.61% |
| Sharpe | -13.67 | -11.27 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -13.26 | -10.93 |
| Sortino | -10.81 | -9.68 |
| Smart Sortino | -10.49 | -9.39 |
| Sortino/√2 | -7.64 | -6.84 |
| Smart Sortino/√2 | -7.42 | -6.64 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -35.05% | -35.55% |
| Longest DD Days | 863 | 777 |
| Volatility (ann.) | 14.95% | 17.83% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.1 | 0.19 |
| Skew | -1.81 | -1.14 |
| Kurtosis | 20.82 | 14.64 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.28% | 0.53% |
| Expected Yearly | 2.66% | 5.14% |
| Kelly Criterion | 0.55% | -1.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -1.82% |
| Expected Shortfall (cVaR) | -1.53% | -1.82% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.08 | 0.09 |
| Gain/Pain (1M) | 0.44 | 0.44 |
| Payoff Ratio | 0.78 | 0.79 |
| Profit Factor | 1.08 | 1.09 |
| Common Sense Ratio | 1.13 | 1.04 |
| CPC Index | 0.47 | 0.48 |
| Tail Ratio | 1.05 | 0.96 |
| Outlier Win Ratio | 8.55 | 3.72 |
| Outlier Loss Ratio | 3.49 | 4.44 |
| MTD | 0.0% | 3.58% |
| 3M | 0.0% | 6.38% |
| 6M | 0.0% | 15.88% |
| YTD | 0.0% | 9.17% |
| 1Y | 0.0% | 12.53% |
| 3Y (ann.) | -0.66% | 4.5% |
| 5Y (ann.) | 3.41% | 6.61% |
| 10Y (ann.) | 3.41% | 6.61% |
| All-time (ann.) | 3.41% | 6.61% |
| Best Day | 6.33% | 8.4% |
| Worst Day | -10.22% | -11.48% |
| Best Month | 14.69% | 13.73% |
| Worst Month | -14.04% | -14.8% |
| Best Year | 22.54% | 22.1% |
| Worst Year | -8.49% | -13.06% |
| Avg. Drawdown | -3.05% | -2.72% |
| Avg. Drawdown Days | 52 | 41 |
| Recovery Factor | 0.49 | 0.99 |
| Ulcer Index | 0.1 | 0.11 |
| Serenity Index | -3.66 | -3.64 |
| Avg. Up Month | 3.86% | 3.65% |
| Avg. Down Month | -4.51% | -4.27% |
| Win Days | 56.54% | 55.29% |
| Win Month | 60.0% | 59.65% |
| Win Quarter | 72.73% | 75.0% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.58 | - |
| Alpha | -0.0 | - |
| Correlation | 68.87% | - |
| Treynor Ratio | -1182.58% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 7.50 | 6.67 | 0.89 | - |
| 2020 | -3.83 | -2.14 | 0.56 | + |
| 2021 | 22.10 | 22.54 | 1.02 | + |
| 2022 | -13.06 | -8.49 | 0.65 | + |
| 2023 | 12.74 | 0.00 | 0.00 | - |
| 2024 | 9.17 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2021-03-31 | -35.05 | 405 |
| 2022-01-05 | 2024-05-17 | -11.73 | 863 |
| 2021-11-18 | 2022-01-03 | -6.61 | 46 |
| 2021-08-16 | 2021-11-01 | -5.28 | 77 |
| 2019-11-27 | 2019-12-13 | -5.03 | 16 |
| 2019-09-23 | 2019-10-24 | -4.67 | 31 |
| 2021-07-14 | 2021-07-26 | -3.56 | 12 |
| 2020-01-21 | 2020-02-06 | -3.14 | 16 |
| 2021-04-20 | 2021-05-07 | -2.32 | 17 |
| 2019-09-16 | 2019-09-20 | -2.16 | 4 |