| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 43.61% | 50.37% |
| CAGR﹪ | 9.99% | 11.33% |
| Sharpe | -8.79 | -7.59 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.36 | -7.21 |
| Sortino | -8.07 | -7.48 |
| Smart Sortino | -7.67 | -7.11 |
| Sortino/√2 | -5.71 | -5.29 |
| Smart Sortino/√2 | -5.42 | -5.03 |
| Omega | 0.14 | 0.14 |
| Max Drawdown | -49.72% | -48.86% |
| Longest DD Days | 917 | 917 |
| Volatility (ann.) | 22.35% | 25.63% |
| R^2 | 0.84 | 0.84 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.2 | 0.23 |
| Skew | -4.96 | -4.48 |
| Kurtosis | 77.23 | 109.99 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.79% | 0.89% |
| Expected Yearly | 7.51% | 8.5% |
| Kelly Criterion | 3.22% | 5.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.27% | -2.6% |
| Expected Shortfall (cVaR) | -2.27% | -2.6% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 12 | 5 |
| Gain/Pain Ratio | 0.12 | 0.14 |
| Gain/Pain (1M) | 0.6 | 0.7 |
| Payoff Ratio | 0.81 | 0.83 |
| Profit Factor | 1.12 | 1.14 |
| Common Sense Ratio | 1.1 | 1.18 |
| CPC Index | 0.52 | 0.54 |
| Tail Ratio | 0.98 | 1.04 |
| Outlier Win Ratio | 3.5 | 3.36 |
| Outlier Loss Ratio | 4.14 | 4.13 |
| MTD | 3.54% | 3.37% |
| 3M | 6.56% | 7.55% |
| 6M | 6.06% | 5.6% |
| YTD | 11.99% | 11.42% |
| 1Y | 27.63% | 28.21% |
| 3Y (ann.) | 1.13% | 2.3% |
| 5Y (ann.) | 9.99% | 11.33% |
| 10Y (ann.) | 9.99% | 11.33% |
| All-time (ann.) | 9.99% | 11.33% |
| Best Day | 8.74% | 17.88% |
| Worst Day | -22.7% | -27.71% |
| Best Month | 17.92% | 17.77% |
| Worst Month | -23.84% | -22.33% |
| Best Year | 36.13% | 38.37% |
| Worst Year | -31.18% | -30.06% |
| Avg. Drawdown | -3.28% | -3.76% |
| Avg. Drawdown Days | 46 | 54 |
| Recovery Factor | 0.88 | 1.03 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | -0.99 | -1.21 |
| Avg. Up Month | 3.74% | 3.79% |
| Avg. Down Month | -7.56% | -7.4% |
| Win Days | 56.74% | 57.35% |
| Win Month | 75.56% | 76.09% |
| Win Quarter | 68.75% | 68.75% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.8 | - |
| Alpha | 0.01 | - |
| Correlation | 91.62% | - |
| Treynor Ratio | -821.57% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 26.78 | 26.20 | 0.98 | - |
| 2021 | 9.99 | 8.47 | 0.85 | - |
| 2022 | -30.06 | -31.18 | 1.04 | - |
| 2023 | 38.37 | 36.13 | 0.94 | - |
| 2024 | 11.42 | 11.99 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-04-25 | -49.72 | 917 |
| 2020-08-14 | 2020-11-09 | -6.79 | 87 |
| 2021-06-15 | 2021-09-06 | -6.01 | 83 |
| 2021-01-15 | 2021-03-12 | -4.70 | 56 |
| 2021-04-27 | 2021-06-02 | -3.59 | 36 |
| 2021-09-07 | 2021-10-07 | -3.46 | 30 |
| 2021-03-16 | 2021-04-08 | -3.05 | 23 |
| 2020-12-18 | 2020-12-23 | -2.20 | 5 |
| 2020-07-09 | 2020-07-20 | -1.85 | 11 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |