| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 93.0% | 91.0% |
| Cumulative Return | 2.31% | 4.64% |
| CAGR﹪ | 0.72% | 1.44% |
| Sharpe | -16.82 | -20.13 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -14.53 | -17.38 |
| Sortino | -11.93 | -12.67 |
| Smart Sortino | -10.3 | -10.94 |
| Sortino/√2 | -8.44 | -8.96 |
| Smart Sortino/√2 | -7.29 | -7.73 |
| Omega | 0.05 | 0.05 |
| Max Drawdown | -19.37% | -17.67% |
| Longest DD Days | 472 | 470 |
| Volatility (ann.) | 12.32% | 10.26% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.04 | 0.08 |
| Skew | -1.41 | -1.57 |
| Kurtosis | 24.19 | 17.64 |
| Expected Daily | 0.0% | 0.01% |
| Expected Monthly | 0.07% | 0.13% |
| Expected Yearly | 0.46% | 0.91% |
| Kelly Criterion | -0.05% | 0.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -1.05% |
| Expected Shortfall (cVaR) | -1.27% | -1.05% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.03 | 0.04 |
| Gain/Pain (1M) | 0.12 | 0.17 |
| Payoff Ratio | 0.83 | 0.88 |
| Profit Factor | 1.03 | 1.04 |
| Common Sense Ratio | 0.96 | 0.94 |
| CPC Index | 0.47 | 0.49 |
| Tail Ratio | 0.94 | 0.9 |
| Outlier Win Ratio | 4.34 | 4.82 |
| Outlier Loss Ratio | 3.06 | 3.44 |
| MTD | -4.04% | -3.59% |
| 3M | -2.89% | 0.1% |
| 6M | -2.7% | -1.39% |
| YTD | -0.41% | 0.2% |
| 1Y | -10.89% | -8.98% |
| 3Y (ann.) | 4.43% | 5.04% |
| 5Y (ann.) | 0.72% | 1.44% |
| 10Y (ann.) | 0.72% | 1.44% |
| All-time (ann.) | 0.72% | 1.44% |
| Best Day | 6.07% | 3.95% |
| Worst Day | -6.59% | -5.53% |
| Best Month | 5.86% | 5.51% |
| Worst Month | -8.22% | -7.77% |
| Best Year | 13.01% | 13.14% |
| Worst Year | -12.83% | -11.83% |
| Avg. Drawdown | -2.27% | -2.1% |
| Avg. Drawdown Days | 44 | 39 |
| Recovery Factor | 0.12 | 0.26 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | -6.18 | -6.14 |
| Avg. Up Month | 2.46% | 2.33% |
| Avg. Down Month | -2.67% | -2.48% |
| Win Days | 54.5% | 53.47% |
| Win Month | 51.52% | 58.82% |
| Win Quarter | 61.54% | 69.23% |
| Win Year | 60.0% | 80.0% |
| Beta | 0.88 | - |
| Alpha | -0.0 | - |
| Correlation | 73.53% | - |
| Treynor Ratio | -790.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.21 | 0.11 | 0.50 | - |
| 2020 | 13.14 | 13.01 | 0.99 | - |
| 2021 | 4.46 | 4.18 | 0.94 | - |
| 2022 | -11.83 | -12.83 | 1.08 | - |
| 2023 | 0.20 | -0.41 | -2.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2023-02-24 | -19.37 | 472 |
| 2020-02-25 | 2020-06-10 | -16.18 | 106 |
| 2020-08-07 | 2021-06-09 | -5.89 | 306 |
| 2021-09-06 | 2021-10-28 | -3.30 | 52 |
| 2021-07-30 | 2021-08-23 | -1.44 | 24 |
| 2021-06-14 | 2021-07-05 | -1.37 | 21 |
| 2020-06-11 | 2020-06-19 | -1.10 | 8 |
| 2020-06-25 | 2020-07-02 | -0.99 | 7 |
| 2020-01-06 | 2020-01-16 | -0.82 | 10 |
| 2021-10-29 | 2021-11-05 | -0.62 | 7 |