| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 0.11% | 14.67% |
| CAGR﹪ | 0.06% | 7.98% |
| Sharpe | 0.36 | 18.33 |
| Prob. Sharpe Ratio | 66.16% | 100.0% |
| Smart Sharpe | 0.34 | 17.47 |
| Sortino | 0.44 | - |
| Smart Sortino | 0.42 | - |
| Sortino/√2 | 0.31 | - |
| Smart Sortino/√2 | 0.3 | - |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -59.07% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 59.47% | 0.49% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.0 | - |
| Skew | -5.3 | 9.91 |
| Kurtosis | 69.9 | 115.29 |
| Expected Daily | 0.0% | 0.04% |
| Expected Monthly | 0.01% | 0.65% |
| Expected Yearly | 0.04% | 4.67% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.08% | -0.02% |
| Expected Shortfall (cVaR) | -6.08% | -0.02% |
| Max Consecutive Wins | 7 | 381 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.09 | - |
| Gain/Pain (1M) | 0.35 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.09 | - |
| Common Sense Ratio | 1.16 | - |
| CPC Index | - | - |
| Tail Ratio | 1.07 | 2.03 |
| Outlier Win Ratio | 1.82 | 99.58 |
| Outlier Loss Ratio | 1.58 | - |
| MTD | -6.03% | 0.83% |
| 3M | 19.45% | 2.93% |
| 6M | 54.17% | 4.89% |
| YTD | 84.91% | 6.37% |
| 1Y | 90.62% | 8.89% |
| 3Y (ann.) | 0.06% | 7.98% |
| 5Y (ann.) | 0.06% | 7.98% |
| 10Y (ann.) | 0.06% | 7.98% |
| All-time (ann.) | 0.06% | 7.98% |
| Best Day | 17.17% | 0.42% |
| Worst Day | -47.31% | 0.0% |
| Best Month | 30.74% | 0.83% |
| Worst Month | -40.86% | 0.51% |
| Best Year | 84.91% | 6.57% |
| Worst Year | -43.58% | 1.16% |
| Avg. Drawdown | -20.96% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.0 | - |
| Ulcer Index | 0.38 | 0.0 |
| Serenity Index | 0.0 | - |
| Avg. Up Month | 9.56% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 53.7% | 100.0% |
| Win Month | 61.9% | 100.0% |
| Win Quarter | 62.5% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -14.45 | - |
| Alpha | 1.52 | - |
| Correlation | -11.97% | - |
| Treynor Ratio | -0.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.16 | -4.04 | -3.49 | - |
| 2022 | 6.57 | -43.58 | -6.63 | - |
| 2023 | 6.37 | 84.91 | 13.33 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-30 | 2023-07-14 | -59.07 | 591 |
| 2023-07-20 | 2023-09-04 | -23.78 | 46 |
| 2021-11-23 | 2021-11-24 | -0.70 | 1 |
| 2021-11-26 | 2021-11-29 | -0.27 | 3 |