| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 87.0% | 97.0% |
| Cumulative Return | 2.58% | 3.28% |
| CAGR﹪ | 0.9% | 1.14% |
| Sharpe | -14.08 | -13.59 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.46 | -9.13 |
| Sortino | -12.63 | -13.31 |
| Smart Sortino | -8.48 | -8.94 |
| Sortino/√2 | -8.93 | -9.41 |
| Smart Sortino/√2 | -6.0 | -6.32 |
| Omega | 0.06 | 0.06 |
| Max Drawdown | -12.01% | -17.7% |
| Longest DD Days | 402 | 413 |
| Volatility (ann.) | 14.67% | 15.17% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.07 | 0.06 |
| Skew | 9.11 | 13.15 |
| Kurtosis | 176.33 | 305.21 |
| Expected Daily | 0.0% | 0.01% |
| Expected Monthly | 0.09% | 0.12% |
| Expected Yearly | 0.64% | 0.81% |
| Kelly Criterion | 6.76% | 14.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.51% | -1.56% |
| Expected Shortfall (cVaR) | -1.51% | -1.56% |
| Max Consecutive Wins | 5 | 13 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.04 | 0.1 |
| Gain/Pain (1M) | 0.2 | 0.22 |
| Payoff Ratio | 1.31 | 1.37 |
| Profit Factor | 1.04 | 1.1 |
| Common Sense Ratio | 1.12 | 0.97 |
| CPC Index | 0.65 | 0.76 |
| Tail Ratio | 1.07 | 0.88 |
| Outlier Win Ratio | 3.19 | 5.72 |
| Outlier Loss Ratio | 2.91 | 5.92 |
| MTD | -1.62% | -1.05% |
| 3M | -0.1% | -0.07% |
| 6M | 1.37% | 1.65% |
| YTD | -1.99% | -1.34% |
| 1Y | -1.99% | -1.82% |
| 3Y (ann.) | 0.9% | 1.14% |
| 5Y (ann.) | 0.9% | 1.14% |
| 10Y (ann.) | 0.9% | 1.14% |
| All-time (ann.) | 0.9% | 1.14% |
| Best Day | 16.22% | 19.18% |
| Worst Day | -6.87% | -8.99% |
| Best Month | 15.66% | 18.71% |
| Worst Month | -8.12% | -10.16% |
| Best Year | 6.33% | 5.78% |
| Worst Year | -1.99% | -1.34% |
| Avg. Drawdown | -1.47% | -1.35% |
| Avg. Drawdown Days | 43 | 43 |
| Recovery Factor | 0.21 | 0.19 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | -50.1 | -51.56 |
| Avg. Up Month | 2.76% | 3.0% |
| Avg. Down Month | -1.95% | -2.01% |
| Win Days | 47.11% | 50.47% |
| Win Month | 46.15% | 46.43% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 25.0% | 50.0% |
| Beta | 0.54 | - |
| Alpha | 0.01 | - |
| Correlation | 55.63% | - |
| Treynor Ratio | -1296.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.13 | -1.39 | 1.23 | - |
| 2022 | 5.78 | 6.33 | 1.10 | + |
| 2023 | 0.10 | -0.19 | -1.98 | - |
| 2024 | -1.34 | -1.99 | 1.48 | - |
| 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 |
| 2021-09-03 | 2021-09-14 | -0.59 | 11 |