| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 50.0% | 99.0% |
| Cumulative Return | 17.05% | 30.6% |
| CAGR﹪ | 3.45% | 5.93% |
| Sharpe | -13.58 | -11.25 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -13.18 | -10.92 |
| Sortino | -10.77 | -9.67 |
| Smart Sortino | -10.45 | -9.38 |
| Sortino/√2 | -7.62 | -6.84 |
| Smart Sortino/√2 | -7.39 | -6.64 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -35.05% | -35.55% |
| Longest DD Days | 840 | 777 |
| Volatility (ann.) | 15.05% | 17.91% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.1 | 0.17 |
| Skew | -1.8 | -1.13 |
| Kurtosis | 20.52 | 14.53 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.28% | 0.48% |
| Expected Yearly | 2.66% | 4.55% |
| Kelly Criterion | 0.55% | -1.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.54% | -1.83% |
| Expected Shortfall (cVaR) | -1.54% | -1.83% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.08 | 0.08 |
| Gain/Pain (1M) | 0.44 | 0.4 |
| Payoff Ratio | 0.78 | 0.79 |
| Profit Factor | 1.08 | 1.08 |
| Common Sense Ratio | 1.13 | 1.03 |
| CPC Index | 0.47 | 0.47 |
| Tail Ratio | 1.05 | 0.95 |
| Outlier Win Ratio | 8.44 | 3.72 |
| Outlier Loss Ratio | 3.5 | 4.42 |
| MTD | 0.0% | -1.38% |
| 3M | 0.0% | 7.23% |
| 6M | 0.0% | 16.72% |
| YTD | 0.0% | 5.55% |
| 1Y | 0.0% | 7.81% |
| 3Y (ann.) | 0.28% | 4.51% |
| 5Y (ann.) | 3.45% | 5.93% |
| 10Y (ann.) | 3.45% | 5.93% |
| All-time (ann.) | 3.45% | 5.93% |
| 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% | -2.78% |
| Avg. Drawdown Days | 51 | 42 |
| Recovery Factor | 0.49 | 0.86 |
| Ulcer Index | 0.1 | 0.11 |
| Serenity Index | -3.67 | -3.64 |
| Avg. Up Month | 3.86% | 3.65% |
| Avg. Down Month | -4.51% | -4.27% |
| Win Days | 56.54% | 55.15% |
| Win Month | 60.0% | 58.93% |
| Win Quarter | 72.73% | 70.0% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.58 | - |
| Alpha | 0.0 | - |
| Correlation | 69.0% | - |
| Treynor Ratio | -1178.36% | - |
| 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 | 5.55 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2021-03-31 | -35.05 | 405 |
| 2022-01-05 | 2024-04-24 | -11.73 | 840 |
| 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 |