| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 25.0% | 99.0% |
| Cumulative Return | -38.21% | -42.14% |
| CAGR﹪ | -22.15% | -24.76% |
| Sharpe | -1.29 | -0.96 |
| Prob. Sharpe Ratio | 0.12% | 0.51% |
| Smart Sharpe | -1.23 | -0.91 |
| Sortino | -1.52 | -1.19 |
| Smart Sortino | -1.45 | -1.14 |
| Sortino/√2 | -1.08 | -0.84 |
| Smart Sortino/√2 | -1.02 | -0.8 |
| Omega | 0.61 | 0.61 |
| Max Drawdown | -44.92% | -46.09% |
| Longest DD Days | 667 | 668 |
| Volatility (ann.) | 24.43% | 33.81% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.49 | -0.54 |
| Skew | -2.95 | -1.94 |
| Kurtosis | 30.31 | 18.22 |
| Expected Daily | -0.11% | -0.13% |
| Expected Monthly | -1.99% | -2.25% |
| Expected Yearly | -14.83% | -16.67% |
| Kelly Criterion | -23.87% | -3.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.63% | -3.61% |
| Expected Shortfall (cVaR) | -2.63% | -3.61% |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | -0.33 | -0.13 |
| Gain/Pain (1M) | -0.67 | -0.46 |
| Payoff Ratio | 0.72 | 0.93 |
| Profit Factor | 0.67 | 0.87 |
| Common Sense Ratio | 0.47 | 0.78 |
| CPC Index | 0.23 | 0.41 |
| Tail Ratio | 0.71 | 0.9 |
| Outlier Win Ratio | 18.48 | 3.14 |
| Outlier Loss Ratio | 2.3 | 3.38 |
| MTD | 0.0% | -5.43% |
| 3M | 0.0% | -13.62% |
| 6M | 0.0% | -16.87% |
| YTD | 0.0% | -0.04% |
| 1Y | -2.56% | -7.34% |
| 3Y (ann.) | -22.15% | -24.76% |
| 5Y (ann.) | -22.15% | -24.76% |
| 10Y (ann.) | -22.15% | -24.76% |
| All-time (ann.) | -22.15% | -24.76% |
| Best Day | 9.04% | 8.75% |
| Worst Day | -13.74% | -19.93% |
| Best Month | 9.11% | 15.17% |
| Worst Month | -16.12% | -15.56% |
| Best Year | 0.0% | -0.04% |
| Worst Year | -34.83% | -38.42% |
| Avg. Drawdown | -16.33% | -17.15% |
| Avg. Drawdown Days | 232 | 231 |
| Recovery Factor | -0.85 | -0.91 |
| Ulcer Index | 0.35 | 0.34 |
| Serenity Index | -0.04 | -0.06 |
| Avg. Up Month | 6.32% | 5.53% |
| Avg. Down Month | -8.07% | -8.68% |
| Win Days | 48.15% | 50.0% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 20.0% | 37.5% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.23 | - |
| Alpha | -0.19 | - |
| Correlation | 31.4% | - |
| Treynor Ratio | -199.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -5.99 | -5.18 | 0.86 | + |
| 2022 | -38.42 | -34.83 | 0.91 | + |
| 2023 | -0.04 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2023-09-07 | -44.92 | 667 |
| 2021-10-06 | 2021-11-02 | -3.76 | 27 |
| 2021-11-03 | 2021-11-05 | -0.30 | 2 |