| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 14.83% | 55.81% |
| CAGR﹪ | 3.67% | 12.25% |
| Sharpe | -3.37 | -9.13 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.32 | -6.28 |
| Sortino | -5.15 | -8.69 |
| Smart Sortino | -3.54 | -5.98 |
| Sortino/√2 | -3.64 | -6.15 |
| Smart Sortino/√2 | -2.5 | -4.23 |
| Omega | 0.38 | 0.38 |
| Max Drawdown | -52.3% | -34.23% |
| Longest DD Days | 1165 | 596 |
| Volatility (ann.) | 56.46% | 21.28% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.07 | 0.36 |
| Skew | 7.03 | 0.29 |
| Kurtosis | 156.5 | 3.49 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.29% | 0.95% |
| Expected Yearly | 2.8% | 9.27% |
| Kelly Criterion | -0.56% | 5.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.78% | -2.15% |
| Expected Shortfall (cVaR) | -5.78% | -2.15% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | 0.1 | 0.13 |
| Gain/Pain (1M) | 0.66 | 0.68 |
| Payoff Ratio | 0.99 | 0.9 |
| Profit Factor | 1.1 | 1.13 |
| Common Sense Ratio | 1.07 | 1.12 |
| CPC Index | 0.55 | 0.56 |
| Tail Ratio | 0.97 | 0.99 |
| Outlier Win Ratio | 3.53 | 5.54 |
| Outlier Loss Ratio | 3.51 | 5.05 |
| MTD | 5.01% | 5.97% |
| 3M | 12.67% | 14.93% |
| 6M | -5.24% | -6.35% |
| YTD | -7.82% | -6.03% |
| 1Y | -1.8% | 2.46% |
| 3Y (ann.) | 7.01% | -1.28% |
| 5Y (ann.) | 3.67% | 12.25% |
| 10Y (ann.) | 3.67% | 12.25% |
| All-time (ann.) | 3.67% | 12.25% |
| Best Day | 65.24% | 9.2% |
| Worst Day | -37.87% | -4.29% |
| Best Month | 44.02% | 13.91% |
| Worst Month | -40.91% | -10.13% |
| Best Year | 12.76% | 54.34% |
| Worst Year | -7.82% | -6.03% |
| Avg. Drawdown | -6.65% | -3.32% |
| Avg. Drawdown Days | 89 | 35 |
| Recovery Factor | 0.28 | 1.63 |
| Ulcer Index | 0.23 | 0.13 |
| Serenity Index | -2.76 | -2.94 |
| Avg. Up Month | 5.05% | 5.09% |
| Avg. Down Month | -5.93% | -4.13% |
| Win Days | 50.0% | 55.21% |
| Win Month | 53.19% | 57.45% |
| Win Quarter | 58.82% | 70.59% |
| Win Year | 60.0% | 80.0% |
| Beta | 0.52 | - |
| Alpha | 0.11 | - |
| Correlation | 19.74% | - |
| Treynor Ratio | -1308.45% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 2.69 | 9.69 | 3.61 | + |
| 2023 | 54.34 | 4.14 | 0.08 | - |
| 2024 | 1.64 | 12.76 | 7.80 | + |
| 2025 | 2.94 | -3.29 | -1.12 | - |
| 2026 | -6.03 | -7.82 | 1.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2026-10-15 | -52.30 | 1165 |
| 2023-04-14 | 2023-06-13 | -8.86 | 60 |
| 2023-02-15 | 2023-04-06 | -7.13 | 50 |
| 2023-07-17 | 2023-07-28 | -3.83 | 11 |
| 2022-12-22 | 2023-01-04 | -3.74 | 13 |
| 2023-01-11 | 2023-01-18 | -3.38 | 7 |
| 2023-01-19 | 2023-01-30 | -3.31 | 11 |
| 2023-07-11 | 2023-07-12 | -3.14 | 1 |
| 2023-02-06 | 2023-02-13 | -3.06 | 7 |
| 2023-07-13 | 2023-07-14 | -2.89 | 1 |