| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 87.0% | 100.0% |
| Cumulative Return | 2.68% | 14.63% |
| CAGR﹪ | 0.93% | 4.9% |
| Sharpe | -14.09 | -5.96 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.47 | -4.0 |
| Sortino | -12.63 | -6.13 |
| Smart Sortino | -8.48 | -4.11 |
| Sortino/√2 | -8.93 | -4.33 |
| Smart Sortino/√2 | -6.0 | -2.91 |
| Omega | 0.06 | 0.06 |
| Max Drawdown | -12.01% | -51.26% |
| Longest DD Days | 402 | 873 |
| Volatility (ann.) | 14.66% | 32.98% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.08 | 0.1 |
| Skew | 9.12 | -6.44 |
| Kurtosis | 176.64 | 135.63 |
| Expected Daily | 0.0% | 0.02% |
| Expected Monthly | 0.09% | 0.49% |
| Expected Yearly | 0.66% | 3.47% |
| Kelly Criterion | -6.12% | 10.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.51% | -3.37% |
| Expected Shortfall (cVaR) | -1.51% | -3.37% |
| Max Consecutive Wins | 5 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.05 | 0.12 |
| Gain/Pain (1M) | 0.21 | 0.55 |
| Payoff Ratio | 0.99 | 0.86 |
| Profit Factor | 1.05 | 1.12 |
| Common Sense Ratio | 1.12 | 1.09 |
| CPC Index | 0.49 | 0.56 |
| Tail Ratio | 1.07 | 0.98 |
| Outlier Win Ratio | 6.32 | 2.92 |
| Outlier Loss Ratio | 6.25 | 2.61 |
| MTD | -1.62% | 2.33% |
| 3M | -0.1% | 12.44% |
| 6M | 1.37% | 9.52% |
| YTD | -1.99% | 8.2% |
| 1Y | -1.99% | 57.08% |
| 3Y (ann.) | 0.93% | 4.9% |
| 5Y (ann.) | 0.93% | 4.9% |
| 10Y (ann.) | 0.93% | 4.9% |
| All-time (ann.) | 0.93% | 4.9% |
| Best Day | 16.22% | 20.04% |
| Worst Day | -6.87% | -33.28% |
| Best Month | 15.66% | 10.63% |
| Worst Month | -8.12% | -30.02% |
| Best Year | 6.33% | 53.84% |
| Worst Year | -1.99% | -37.26% |
| Avg. Drawdown | -1.41% | -4.1% |
| Avg. Drawdown Days | 41 | 59 |
| Recovery Factor | 0.22 | 0.29 |
| Ulcer Index | 0.03 | 0.24 |
| Serenity Index | -50.13 | -1.39 |
| Avg. Up Month | 0.87% | 4.84% |
| Avg. Down Month | -3.6% | -11.37% |
| Win Days | 47.22% | 58.32% |
| Win Month | 46.15% | 67.86% |
| Win Quarter | 50.0% | 70.0% |
| Win Year | 25.0% | 75.0% |
| Beta | -0.18 | - |
| Alpha | 0.04 | - |
| Correlation | -41.05% | - |
| Treynor Ratio | 3821.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.77 | -1.29 | -0.13 | - |
| 2022 | -37.26 | 6.33 | -0.17 | + |
| 2023 | 53.84 | -0.19 | -0.00 | - |
| 2024 | 8.20 | -1.99 | -0.24 | - |
| 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 | 2021-09-10 | -0.59 | 7 |