| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -25.8% | 15.93% |
| CAGR﹪ | -14.18% | 7.87% |
| Sharpe | -0.06 | 18.87 |
| Prob. Sharpe Ratio | 46.64% | 100.0% |
| Smart Sharpe | -0.06 | 17.5 |
| Sortino | -0.08 | - |
| Smart Sortino | -0.07 | - |
| Sortino/√2 | -0.06 | - |
| Smart Sortino/√2 | -0.05 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -62.38% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.9% | 0.47% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.23 | - |
| Skew | -5.4 | 10.62 |
| Kurtosis | 73.36 | 131.65 |
| Expected Daily | -0.07% | 0.03% |
| Expected Monthly | -1.29% | 0.64% |
| Expected Yearly | -9.47% | 5.05% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.18% | -0.01% |
| Expected Shortfall (cVaR) | -5.18% | -0.01% |
| Max Consecutive Wins | 7 | 423 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.05 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 1.07 | - |
| CPC Index | - | - |
| Tail Ratio | 1.08 | 2.03 |
| Outlier Win Ratio | 1.97 | 100.53 |
| Outlier Loss Ratio | 1.88 | - |
| MTD | 3.07% | 0.83% |
| 3M | 18.08% | 2.93% |
| 6M | 19.51% | 4.89% |
| YTD | 45.96% | 6.37% |
| 1Y | 60.81% | 8.89% |
| 3Y (ann.) | -14.18% | 7.87% |
| 5Y (ann.) | -14.18% | 7.87% |
| 10Y (ann.) | -14.18% | 7.87% |
| All-time (ann.) | -14.18% | 7.87% |
| Best Day | 11.11% | 0.42% |
| Worst Day | -41.73% | 0.0% |
| Best Month | 31.94% | 0.83% |
| Worst Month | -35.13% | 0.45% |
| Best Year | 45.96% | 6.57% |
| Worst Year | -40.54% | 2.27% |
| Avg. Drawdown | -62.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.41 | - |
| Ulcer Index | 0.41 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 8.4% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 50.0% | 100.0% |
| Win Month | 56.52% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -4.25 | - |
| Alpha | 0.34 | - |
| Correlation | -3.97% | - |
| Treynor Ratio | 6.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.27 | -14.51 | -6.39 | - |
| 2022 | 6.57 | -40.54 | -6.17 | - |
| 2023 | 6.37 | 45.96 | 7.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-23 | 2023-09-04 | -62.38 | 711 |