| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -25.8% | 9.9% |
| CAGR﹪ | -14.18% | 4.96% |
| Sharpe | -0.07 | 14.47 |
| Prob. Sharpe Ratio | 46.58% | 100.0% |
| Smart Sharpe | -0.06 | 13.38 |
| Sortino | -0.08 | 46.18 |
| Smart Sortino | -0.07 | 42.71 |
| Sortino/√2 | -0.06 | 32.66 |
| Smart Sortino/√2 | -0.05 | 30.2 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -62.38% | -1.25% |
| Longest DD Days | 711 | 209 |
| Volatility (ann.) | 49.93% | 0.39% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.23 | 3.95 |
| Skew | -5.42 | -0.09 |
| Kurtosis | 73.54 | -0.36 |
| Expected Daily | -0.07% | 0.02% |
| Expected Monthly | -1.29% | 0.41% |
| Expected Yearly | -9.47% | 3.2% |
| Kelly Criterion | -17.71% | 74.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.19% | -0.02% |
| Expected Shortfall (cVaR) | -5.19% | -0.02% |
| Max Consecutive Wins | 7 | 241 |
| Max Consecutive Losses | 9 | 65 |
| Gain/Pain Ratio | -0.01 | 7.48 |
| Gain/Pain (1M) | -0.05 | 7.48 |
| Payoff Ratio | 0.73 | 1.55 |
| Profit Factor | 0.99 | 8.48 |
| Common Sense Ratio | 1.07 | 24.17 |
| CPC Index | 0.36 | 11.11 |
| Tail Ratio | 1.08 | 2.85 |
| Outlier Win Ratio | 1.98 | 116.64 |
| Outlier Loss Ratio | 1.89 | 183.48 |
| MTD | 3.07% | 0.03% |
| 3M | 18.08% | 1.28% |
| 6M | 19.51% | 2.35% |
| YTD | 45.96% | 3.73% |
| 1Y | 60.81% | 5.17% |
| 3Y (ann.) | -14.18% | 4.96% |
| 5Y (ann.) | -14.18% | 4.96% |
| 10Y (ann.) | -14.18% | 4.96% |
| All-time (ann.) | -14.18% | 4.96% |
| Best Day | 11.11% | 0.09% |
| Worst Day | -41.73% | -0.02% |
| Best Month | 31.94% | 1.17% |
| Worst Month | -35.13% | -0.52% |
| Best Year | 45.96% | 3.73% |
| Worst Year | -40.54% | 2.41% |
| Avg. Drawdown | -62.38% | -1.25% |
| Avg. Drawdown Days | 711 | 209 |
| Recovery Factor | -0.41 | 7.89 |
| Ulcer Index | 0.41 | 0.01 |
| Serenity Index | -0.03 | 0.49 |
| Avg. Up Month | 6.44% | 0.53% |
| Avg. Down Month | -18.19% | -0.44% |
| Win Days | 50.24% | 84.56% |
| Win Month | 56.52% | 86.96% |
| Win Quarter | 55.56% | 77.78% |
| Win Year | 33.33% | 100.0% |
| Beta | 1.21 | - |
| Alpha | -0.1 | - |
| Correlation | 0.94% | - |
| Treynor Ratio | -21.36% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.45 | -14.51 | -4.21 | - |
| 2022 | 2.41 | -40.54 | -16.82 | - |
| 2023 | 3.73 | 45.96 | 12.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-23 | 2023-09-04 | -62.38 | 711 |