| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -16.25% | 29.92% |
| CAGR﹪ | -6.02% | 9.6% |
| Sharpe | -1.64 | -3.28 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.56 | -3.12 |
| Sortino | -4.41 | -3.76 |
| Smart Sortino | -4.2 | -3.58 |
| Sortino/√2 | -3.12 | -2.66 |
| Smart Sortino/√2 | -2.97 | -2.53 |
| Omega | 0.54 | 0.54 |
| Max Drawdown | -41.97% | -21.43% |
| Longest DD Days | 475 | 708 |
| Volatility (ann.) | 42.99% | 17.0% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.14 | 0.45 |
| Skew | 17.91 | -2.74 |
| Kurtosis | 382.58 | 35.1 |
| Expected Daily | -0.03% | 0.05% |
| Expected Monthly | -0.63% | 0.94% |
| Expected Yearly | -4.34% | 6.76% |
| Kelly Criterion | -26.77% | 10.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.46% | -1.71% |
| Expected Shortfall (cVaR) | -4.46% | -1.71% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 10 | 5 |
| Gain/Pain Ratio | -0.01 | 0.16 |
| Gain/Pain (1M) | -0.03 | 0.73 |
| Payoff Ratio | 0.72 | 1.07 |
| Profit Factor | 0.99 | 1.16 |
| Common Sense Ratio | 0.82 | 1.19 |
| CPC Index | 0.34 | 0.67 |
| Tail Ratio | 0.83 | 1.02 |
| Outlier Win Ratio | 2.73 | 3.52 |
| Outlier Loss Ratio | 2.92 | 3.36 |
| MTD | -2.29% | 1.59% |
| 3M | -1.28% | 12.38% |
| 6M | 5.02% | 16.23% |
| YTD | -3.51% | 8.82% |
| 1Y | -18.73% | 36.16% |
| 3Y (ann.) | -6.02% | 9.6% |
| 5Y (ann.) | -6.02% | 9.6% |
| 10Y (ann.) | -6.02% | 9.6% |
| All-time (ann.) | -6.02% | 9.6% |
| Best Day | 57.66% | 5.55% |
| Worst Day | -7.27% | -12.48% |
| Best Month | 56.15% | 9.13% |
| Worst Month | -14.41% | -10.74% |
| Best Year | 13.6% | 26.29% |
| Worst Year | -22.79% | -18.32% |
| Avg. Drawdown | -5.02% | -1.72% |
| Avg. Drawdown Days | 59 | 26 |
| Recovery Factor | -0.39 | 1.4 |
| Ulcer Index | 0.22 | 0.09 |
| Serenity Index | -0.35 | -0.54 |
| Avg. Up Month | 2.17% | 4.0% |
| Avg. Down Month | -7.92% | -3.35% |
| Win Days | 46.75% | 53.62% |
| Win Month | 39.29% | 64.29% |
| Win Quarter | 40.0% | 70.0% |
| Win Year | 25.0% | 75.0% |
| Beta | -1.01 | - |
| Alpha | 0.13 | - |
| Correlation | -40.02% | - |
| Treynor Ratio | 114.85% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 15.75 | -1.05 | -0.07 | - |
| 2022 | -18.32 | 13.60 | -0.74 | + |
| 2023 | 26.29 | -22.79 | -0.87 | - |
| 2024 | 8.82 | -3.51 | -0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-11-23 | 2024-03-12 | -41.97 | 475 |
| 2021-10-27 | 2022-10-24 | -25.36 | 362 |
| 2021-06-11 | 2021-09-15 | -4.13 | 96 |
| 2022-11-02 | 2022-11-07 | -2.71 | 5 |
| 2022-11-08 | 2022-11-10 | -2.12 | 2 |
| 2022-10-26 | 2022-11-01 | -1.90 | 6 |
| 2021-09-16 | 2021-10-07 | -1.76 | 21 |
| 2021-05-10 | 2021-05-20 | -1.45 | 10 |
| 2022-11-11 | 2022-11-18 | -1.26 | 7 |
| 2022-11-21 | 2022-11-22 | -0.55 | 1 |