| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -5.42% | 18.08% |
| CAGR﹪ | -2.04% | 6.34% |
| Sharpe | -2.22 | -3.33 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.15 | -3.24 |
| Sortino | -2.8 | -4.03 |
| Smart Sortino | -2.72 | -3.91 |
| Sortino/√2 | -1.98 | -2.85 |
| Smart Sortino/√2 | -1.92 | -2.77 |
| Omega | 0.61 | 0.61 |
| Max Drawdown | -41.26% | -24.49% |
| Longest DD Days | 666 | 708 |
| Volatility (ann.) | 30.23% | 18.32% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.05 | 0.26 |
| Skew | -1.54 | -0.08 |
| Kurtosis | 32.93 | 2.09 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.17% | 0.52% |
| Expected Yearly | -1.38% | 4.24% |
| Kelly Criterion | -8.92% | 7.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.12% | -1.87% |
| Expected Shortfall (cVaR) | -3.12% | -1.87% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | 0.02 | 0.08 |
| Gain/Pain (1M) | 0.08 | 0.34 |
| Payoff Ratio | 0.87 | 1.15 |
| Profit Factor | 1.02 | 1.08 |
| Common Sense Ratio | 1.31 | 1.17 |
| CPC Index | 0.44 | 0.62 |
| Tail Ratio | 1.28 | 1.08 |
| Outlier Win Ratio | 3.6 | 4.55 |
| Outlier Loss Ratio | 3.91 | 5.01 |
| MTD | 1.12% | -3.85% |
| 3M | -2.22% | 4.07% |
| 6M | 6.07% | 19.76% |
| YTD | 0.58% | 6.3% |
| 1Y | -5.56% | 23.95% |
| 3Y (ann.) | -2.04% | 6.34% |
| 5Y (ann.) | -2.04% | 6.34% |
| 10Y (ann.) | -2.04% | 6.34% |
| All-time (ann.) | -2.04% | 6.34% |
| Best Day | 14.8% | 5.55% |
| Worst Day | -20.74% | -4.55% |
| Best Month | 29.31% | 9.22% |
| Worst Month | -15.5% | -9.21% |
| Best Year | 14.11% | 26.29% |
| Worst Year | -16.12% | -18.32% |
| Avg. Drawdown | -6.99% | -2.02% |
| Avg. Drawdown Days | 63 | 30 |
| Recovery Factor | -0.13 | 0.74 |
| Ulcer Index | 0.24 | 0.11 |
| Serenity Index | -0.2 | -0.43 |
| Avg. Up Month | 2.23% | 4.54% |
| Avg. Down Month | -6.33% | -4.08% |
| Win Days | 49.37% | 50.48% |
| Win Month | 56.25% | 56.25% |
| Win Quarter | 33.33% | 50.0% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.13 | - |
| Alpha | 0.01 | - |
| Correlation | 8.16% | - |
| Treynor Ratio | -783.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.69 | -1.75 | -0.23 | - |
| 2022 | -18.32 | 14.11 | -0.77 | + |
| 2023 | 26.29 | -16.12 | -0.61 | - |
| 2024 | 6.30 | 0.58 | 0.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-29 | 2024-04-25 | -41.26 | 666 |
| 2021-10-27 | 2022-05-12 | -35.13 | 197 |
| 2022-05-25 | 2022-06-08 | -15.81 | 14 |
| 2022-05-13 | 2022-05-19 | -4.45 | 6 |
| 2022-06-23 | 2022-06-28 | -1.54 | 5 |
| 2021-09-16 | 2021-10-05 | -1.49 | 19 |
| 2021-08-16 | 2021-09-01 | -1.43 | 16 |
| 2022-06-14 | 2022-06-16 | -1.20 | 2 |
| 2021-09-07 | 2021-09-13 | -0.80 | 6 |
| 2021-10-20 | 2021-10-22 | -0.50 | 2 |