| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 16.07% | 20.04% |
| CAGR﹪ | 5.46% | 6.73% |
| Sharpe | -8.7 | -6.92 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.06 | -6.4 |
| Sortino | -8.09 | -6.96 |
| Smart Sortino | -7.49 | -6.45 |
| Sortino/√2 | -5.72 | -4.92 |
| Smart Sortino/√2 | -5.3 | -4.56 |
| Omega | 0.18 | 0.18 |
| Max Drawdown | -48.48% | -48.8% |
| Longest DD Days | 681 | 677 |
| Volatility (ann.) | 23.06% | 28.58% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.11 | 0.14 |
| Skew | -1.67 | -4.67 |
| Kurtosis | 10.98 | 102.85 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.44% | 0.54% |
| Expected Yearly | 3.8% | 4.67% |
| Kelly Criterion | -0.21% | 0.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -2.92% |
| Expected Shortfall (cVaR) | -2.36% | -2.92% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.07 | 0.1 |
| Gain/Pain (1M) | 0.29 | 0.43 |
| Payoff Ratio | 0.77 | 0.73 |
| Profit Factor | 1.07 | 1.1 |
| Common Sense Ratio | 0.99 | 1.08 |
| CPC Index | 0.46 | 0.47 |
| Tail Ratio | 0.92 | 0.98 |
| Outlier Win Ratio | 3.68 | 3.91 |
| Outlier Loss Ratio | 4.14 | 4.27 |
| MTD | 1.58% | 1.85% |
| 3M | 4.31% | 5.36% |
| 6M | 4.15% | 5.15% |
| YTD | 8.82% | 9.84% |
| 1Y | 39.23% | 41.74% |
| 3Y (ann.) | 5.46% | 6.73% |
| 5Y (ann.) | 5.46% | 6.73% |
| 10Y (ann.) | 5.46% | 6.73% |
| All-time (ann.) | 5.46% | 6.73% |
| Best Day | 5.61% | 17.88% |
| Worst Day | -10.29% | -28.25% |
| Best Month | 15.57% | 17.02% |
| Worst Month | -24.16% | -22.53% |
| Best Year | 55.98% | 59.94% |
| Worst Year | -32.19% | -32.71% |
| Avg. Drawdown | -4.0% | -3.54% |
| Avg. Drawdown Days | 42 | 38 |
| Recovery Factor | 0.33 | 0.41 |
| Ulcer Index | 0.24 | 0.24 |
| Serenity Index | -0.95 | -1.17 |
| Avg. Up Month | 4.83% | 4.89% |
| Avg. Down Month | -6.91% | -6.72% |
| Win Days | 56.45% | 58.16% |
| Win Month | 64.71% | 64.71% |
| Win Quarter | 58.33% | 58.33% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.54 | - |
| Alpha | 0.02 | - |
| Correlation | 67.05% | - |
| Treynor Ratio | -1264.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.55 | 0.83 | 0.54 | - |
| 2022 | -32.71 | -32.19 | 0.98 | + |
| 2023 | 59.94 | 55.98 | 0.93 | - |
| 2024 | 9.84 | 8.82 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2023-09-01 | -48.48 | 681 |
| 2023-10-26 | 2024-01-31 | -9.85 | 97 |
| 2023-09-07 | 2023-10-17 | -7.57 | 40 |
| 2024-02-16 | 2024-03-07 | -4.02 | 20 |
| 2021-07-14 | 2021-07-29 | -3.75 | 15 |
| 2021-09-14 | 2021-10-07 | -3.38 | 23 |
| 2024-03-12 | 2024-04-01 | -2.70 | 20 |
| 2024-04-23 | 2024-04-24 | -1.72 | 1 |
| 2021-08-18 | 2021-08-30 | -1.71 | 12 |
| 2021-09-09 | 2021-09-13 | -1.55 | 4 |