| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 87.0% | 100.0% |
| Cumulative Return | 3.19% | 23.06% |
| CAGR﹪ | 1.1% | 7.49% |
| Sharpe | 0.17 | 27.35 |
| Prob. Sharpe Ratio | 60.23% | 100.0% |
| Smart Sharpe | 0.11 | 18.33 |
| Sortino | 0.32 | - |
| Smart Sortino | 0.22 | - |
| Sortino/√2 | 0.23 | - |
| Smart Sortino/√2 | 0.15 | - |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -12.01% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 14.61% | 0.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.09 | - |
| Skew | 9.15 | 4.41 |
| Kurtosis | 177.93 | 25.62 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.11% | 0.72% |
| Expected Yearly | 0.79% | 5.32% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.5% | -0.0% |
| Expected Shortfall (cVaR) | -1.5% | -0.0% |
| Max Consecutive Wins | 5 | 562 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.05 | - |
| Gain/Pain (1M) | 0.23 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.05 | - |
| Common Sense Ratio | 1.09 | - |
| CPC Index | - | - |
| Tail Ratio | 1.04 | 3.01 |
| Outlier Win Ratio | 2.38 | 23.81 |
| Outlier Loss Ratio | 1.84 | - |
| MTD | -1.62% | 1.24% |
| 3M | -0.1% | 4.6% |
| 6M | 1.37% | 7.89% |
| YTD | -1.99% | 3.76% |
| 1Y | -1.99% | 12.42% |
| 3Y (ann.) | 1.1% | 7.49% |
| 5Y (ann.) | 1.1% | 7.49% |
| 10Y (ann.) | 1.1% | 7.49% |
| All-time (ann.) | 1.1% | 7.49% |
| Best Day | 16.22% | 0.2% |
| Worst Day | -6.87% | 0.0% |
| Best Month | 15.66% | 1.24% |
| Worst Month | -8.12% | 0.2% |
| Best Year | 6.33% | 10.0% |
| Worst Year | -1.99% | 3.26% |
| Avg. Drawdown | -1.43% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.27 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.23 | - |
| Avg. Up Month | 2.2% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 47.43% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 25.0% | 100.0% |
| Beta | 3.0 | - |
| Alpha | -0.25 | - |
| Correlation | 6.98% | - |
| Treynor Ratio | 1.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.43 | -0.80 | -0.18 | - |
| 2022 | 3.26 | 6.33 | 1.94 | + |
| 2023 | 10.00 | -0.19 | -0.02 | - |
| 2024 | 3.76 | -1.99 | -0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-17 | 2022-10-24 | -12.01 | 402 |
| 2023-05-30 | 2024-03-12 | -6.85 | 287 |
| 2023-01-09 | 2023-04-26 | -2.34 | 107 |
| 2022-10-27 | 2022-11-22 | -2.29 | 26 |
| 2022-11-29 | 2022-12-12 | -1.42 | 13 |
| 2022-12-13 | 2022-12-14 | -1.42 | 1 |
| 2021-05-10 | 2021-07-30 | -1.09 | 81 |
| 2022-12-19 | 2023-01-06 | -0.85 | 18 |
| 2022-11-23 | 2022-11-28 | -0.67 | 5 |
| 2023-05-05 | 2023-05-10 | -0.65 | 5 |