| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 16.0% | 99.0% |
| Cumulative Return | -36.52% | -6.4% |
| CAGR﹪ | -22.83% | -3.7% |
| Sharpe | -0.93 | -0.11 |
| Prob. Sharpe Ratio | 0.44% | 9.87% |
| Smart Sharpe | -0.92 | -0.11 |
| Sortino | -1.06 | -0.14 |
| Smart Sortino | -1.05 | -0.14 |
| Sortino/√2 | -0.75 | -0.1 |
| Smart Sortino/√2 | -0.74 | -0.1 |
| Omega | 0.64 | 0.64 |
| Max Drawdown | -46.82% | -41.3% |
| Longest DD Days | 633 | 617 |
| Volatility (ann.) | 32.36% | 36.36% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.49 | -0.09 |
| Skew | -6.1 | -2.43 |
| Kurtosis | 78.57 | 21.93 |
| Expected Daily | -0.12% | -0.02% |
| Expected Monthly | -2.04% | -0.3% |
| Expected Yearly | -14.06% | -2.18% |
| Kelly Criterion | 3.63% | -1.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.44% | -3.76% |
| Expected Shortfall (cVaR) | -3.44% | -3.76% |
| Max Consecutive Wins | 3 | 7 |
| Max Consecutive Losses | 3 | 5 |
| Gain/Pain Ratio | -0.3 | 0.01 |
| Gain/Pain (1M) | -0.76 | 0.06 |
| Payoff Ratio | 1.01 | 0.78 |
| Profit Factor | 0.7 | 1.01 |
| Common Sense Ratio | 0.77 | 1.06 |
| CPC Index | 0.36 | 0.44 |
| Tail Ratio | 1.09 | 1.05 |
| Outlier Win Ratio | 21.39 | 3.53 |
| Outlier Loss Ratio | 1.51 | 3.55 |
| MTD | 0.0% | -1.65% |
| 3M | 0.0% | 1.69% |
| 6M | 0.0% | 24.34% |
| YTD | 0.0% | 47.91% |
| 1Y | -2.92% | 33.95% |
| 3Y (ann.) | -22.83% | -3.7% |
| 5Y (ann.) | -22.83% | -3.7% |
| 10Y (ann.) | -22.83% | -3.7% |
| All-time (ann.) | -22.83% | -3.7% |
| Best Day | 10.28% | 5.08% |
| Worst Day | -26.53% | -22.16% |
| Best Month | 5.47% | 17.38% |
| Worst Month | -22.74% | -18.58% |
| Best Year | 0.32% | 47.91% |
| Worst Year | -36.72% | -38.81% |
| Avg. Drawdown | -46.82% | -23.45% |
| Avg. Drawdown Days | 633 | 318 |
| Recovery Factor | -0.78 | -0.16 |
| Ulcer Index | 0.35 | 0.26 |
| Serenity Index | -0.05 | -0.03 |
| Avg. Up Month | 3.16% | 5.85% |
| Avg. Down Month | -9.89% | -10.02% |
| Win Days | 51.67% | 55.64% |
| Win Month | 40.0% | 45.45% |
| Win Quarter | 40.0% | 37.5% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.14 | - |
| Alpha | -0.24 | - |
| Correlation | 15.53% | - |
| Treynor Ratio | -314.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.41 | 0.32 | 0.09 | - |
| 2022 | -38.81 | -36.72 | 0.95 | + |
| 2023 | 47.91 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-13 | 2023-09-07 | -46.82 | 633 |