| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -0.5% | 22.99% |
| CAGR﹪ | -0.14% | 6.12% |
| Sharpe | 0.15 | 20.23 |
| Prob. Sharpe Ratio | 60.55% | 100.0% |
| Smart Sharpe | 0.13 | 16.57 |
| Sortino | 0.19 | 51.89 |
| Smart Sortino | 0.15 | 42.5 |
| Sortino/√2 | 0.13 | 36.69 |
| Smart Sortino/√2 | 0.11 | 30.05 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -52.71% | -1.25% |
| Longest DD Days | 1091 | 183 |
| Volatility (ann.) | 29.2% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.0 | 4.88 |
| Skew | -5.75 | -1.24 |
| Kurtosis | 103.78 | 4.32 |
| Expected Daily | -0.0% | 0.03% |
| Expected Monthly | -0.01% | 0.52% |
| Expected Yearly | -0.12% | 5.31% |
| Kelly Criterion | -13.62% | 88.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.01% | -0.01% |
| Expected Shortfall (cVaR) | -3.01% | -0.01% |
| Max Consecutive Wins | 10 | 535 |
| Max Consecutive Losses | 8 | 48 |
| Gain/Pain Ratio | 0.04 | 16.39 |
| Gain/Pain (1M) | 0.16 | 16.39 |
| Payoff Ratio | 0.67 | 1.07 |
| Profit Factor | 1.04 | 17.39 |
| Common Sense Ratio | 0.97 | 46.92 |
| CPC Index | 0.38 | 17.43 |
| Tail Ratio | 0.93 | 2.7 |
| Outlier Win Ratio | 1.9 | 58.75 |
| Outlier Loss Ratio | 1.82 | 77.37 |
| MTD | -2.35% | 0.05% |
| 3M | -9.02% | 1.33% |
| 6M | -13.73% | 3.39% |
| YTD | -6.72% | 5.51% |
| 1Y | -5.93% | 8.15% |
| 3Y (ann.) | -6.78% | 5.78% |
| 5Y (ann.) | -0.14% | 6.12% |
| 10Y (ann.) | -0.14% | 6.12% |
| All-time (ann.) | -0.14% | 6.12% |
| Best Day | 15.24% | 0.06% |
| Worst Day | -30.58% | -0.09% |
| Best Month | 15.94% | 1.17% |
| Worst Month | -29.54% | -0.52% |
| Best Year | 48.13% | 7.42% |
| Worst Year | -35.9% | 2.29% |
| Avg. Drawdown | -4.4% | -1.25% |
| Avg. Drawdown Days | 67 | 183 |
| Recovery Factor | -0.01 | 18.32 |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | -0.0 | 1.83 |
| Avg. Up Month | 4.32% | 0.56% |
| Avg. Down Month | -5.03% | -0.35% |
| Win Days | 54.36% | 94.03% |
| Win Month | 62.5% | 92.5% |
| Win Quarter | 53.33% | 86.67% |
| Win Year | 50.0% | 100.0% |
| Beta | -3.26 | - |
| Alpha | 0.26 | - |
| Correlation | -3.58% | - |
| Treynor Ratio | 0.15% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.09 | 12.35 | 2.03 | + |
| 2022 | 2.29 | -35.90 | -15.70 | - |
| 2023 | 7.42 | 48.13 | 6.49 | + |
| 2024 | 5.51 | -6.72 | -1.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2024-10-07 | -52.71 | 1091 |
| 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 |
| 2021-06-24 | 2021-07-01 | -1.91 | 7 |
| 2021-05-19 | 2021-05-26 | -1.82 | 7 |
| 2021-06-15 | 2021-06-23 | -1.73 | 8 |
| 2021-05-11 | 2021-05-18 | -1.72 | 7 |
| 2021-09-28 | 2021-10-05 | -1.49 | 7 |