| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 16.95% | 17.04% |
| CAGR﹪ | 5.34% | 5.37% |
| Sharpe | -6.51 | -6.41 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.19 | -5.11 |
| Sortino | -6.48 | -6.5 |
| Smart Sortino | -5.17 | -5.19 |
| Sortino/√2 | -4.58 | -4.6 |
| Smart Sortino/√2 | -3.65 | -3.67 |
| Omega | 0.2 | 0.2 |
| Max Drawdown | -52.71% | -52.18% |
| Longest DD Days | 924 | 915 |
| Volatility (ann.) | 30.4% | 30.86% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.1 | 0.1 |
| Skew | -6.02 | -5.63 |
| Kurtosis | 104.29 | 122.29 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.46% | 0.46% |
| Expected Yearly | 3.99% | 4.01% |
| Kelly Criterion | 2.61% | 1.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.11% | -3.15% |
| Expected Shortfall (cVaR) | -3.11% | -3.15% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.09 | 0.1 |
| Gain/Pain (1M) | 0.42 | 0.44 |
| Payoff Ratio | 0.82 | 0.78 |
| Profit Factor | 1.09 | 1.1 |
| Common Sense Ratio | 1.07 | 1.01 |
| CPC Index | 0.5 | 0.49 |
| Tail Ratio | 0.98 | 0.92 |
| Outlier Win Ratio | 3.46 | 3.57 |
| Outlier Loss Ratio | 4.29 | 4.68 |
| MTD | 3.15% | 2.93% |
| 3M | 6.88% | 6.43% |
| 6M | 7.47% | 6.82% |
| YTD | 10.18% | 9.55% |
| 1Y | 38.5% | 39.02% |
| 3Y (ann.) | 4.7% | 4.48% |
| 5Y (ann.) | 5.34% | 5.37% |
| 10Y (ann.) | 5.34% | 5.37% |
| All-time (ann.) | 5.34% | 5.37% |
| Best Day | 15.24% | 19.44% |
| Worst Day | -30.58% | -31.89% |
| Best Month | 15.94% | 16.32% |
| Worst Month | -29.54% | -27.51% |
| Best Year | 48.13% | 49.17% |
| Worst Year | -35.9% | -36.0% |
| Avg. Drawdown | -4.78% | -4.08% |
| Avg. Drawdown Days | 65 | 55 |
| Recovery Factor | 0.32 | 0.33 |
| Ulcer Index | 0.27 | 0.27 |
| Serenity Index | -0.99 | -1.01 |
| Avg. Up Month | 4.48% | 4.48% |
| Avg. Down Month | -7.21% | -7.12% |
| Win Days | 56.18% | 56.68% |
| Win Month | 70.59% | 64.71% |
| Win Quarter | 69.23% | 69.23% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.93 | - |
| Alpha | 0.01 | - |
| Correlation | 94.37% | - |
| Treynor Ratio | -734.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.91 | 11.79 | 0.99 | - |
| 2022 | -36.00 | -35.90 | 1.00 | + |
| 2023 | 49.17 | 48.13 | 0.98 | - |
| 2024 | 9.55 | 10.18 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2024-04-23 | -52.71 | 924 |
| 2021-07-06 | 2021-08-10 | -5.38 | 35 |
| 2021-09-16 | 2021-09-27 | -3.01 | 11 |
| 2021-04-27 | 2021-05-06 | -2.73 | 9 |
| 2021-08-18 | 2021-08-31 | -2.54 | 13 |
| 2021-06-15 | 2021-07-02 | -1.91 | 17 |
| 2021-05-19 | 2021-05-27 | -1.82 | 8 |
| 2021-05-11 | 2021-05-18 | -1.72 | 7 |
| 2021-09-28 | 2021-10-05 | -1.49 | 7 |
| 2021-06-03 | 2021-06-04 | -0.74 | 1 |