| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 7.16% | 32.93% |
| CAGR﹪ | 1.58% | 6.65% |
| Sharpe | 0.19 | 20.79 |
| Prob. Sharpe Ratio | 64.99% | 100.0% |
| Smart Sharpe | 0.19 | 20.51 |
| Sortino | 0.23 | 85.85 |
| Smart Sortino | 0.23 | 84.67 |
| Sortino/√2 | 0.17 | 60.7 |
| Smart Sortino/√2 | 0.16 | 59.87 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -49.72% | -1.25% |
| Longest DD Days | 1135 | 209 |
| Volatility (ann.) | 22.95% | 0.31% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.03 | 5.3 |
| Skew | -3.95 | -0.08 |
| Kurtosis | 59.8 | 1.12 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.13% | 0.54% |
| Expected Yearly | 1.39% | 5.86% |
| Kelly Criterion | 8.03% | 86.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -0.01% |
| Expected Shortfall (cVaR) | -2.36% | -0.01% |
| Max Consecutive Wins | 12 | 573 |
| Max Consecutive Losses | 12 | 65 |
| Gain/Pain Ratio | 0.04 | 20.74 |
| Gain/Pain (1M) | 0.17 | 20.74 |
| Payoff Ratio | 0.96 | 2.52 |
| Profit Factor | 1.04 | 21.74 |
| Common Sense Ratio | 0.93 | 68.47 |
| CPC Index | 0.55 | 49.48 |
| Tail Ratio | 0.89 | 3.15 |
| Outlier Win Ratio | 1.79 | 48.49 |
| Outlier Loss Ratio | 2.02 | 157.8 |
| MTD | 0.19% | 0.65% |
| 3M | -6.5% | 1.91% |
| 6M | -23.21% | 4.03% |
| YTD | -17.39% | 7.26% |
| 1Y | -18.14% | 8.15% |
| 3Y (ann.) | -8.31% | 6.42% |
| 5Y (ann.) | 1.58% | 6.65% |
| 10Y (ann.) | 1.58% | 6.65% |
| All-time (ann.) | 1.58% | 6.65% |
| Best Day | 8.74% | 0.11% |
| Worst Day | -22.7% | -0.02% |
| Best Month | 17.92% | 1.56% |
| Worst Month | -23.84% | -0.52% |
| Best Year | 36.13% | 8.39% |
| Worst Year | -31.18% | 2.34% |
| Avg. Drawdown | -3.19% | -0.68% |
| Avg. Drawdown Days | 52 | 138 |
| Recovery Factor | 0.14 | 26.24 |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.01 | 3.5 |
| Avg. Up Month | 3.71% | 0.61% |
| Avg. Down Month | -2.22% | -0.37% |
| Win Days | 54.96% | 90.15% |
| Win Month | 67.92% | 90.57% |
| Win Quarter | 52.63% | 94.74% |
| Win Year | 60.0% | 100.0% |
| Beta | -2.04 | - |
| Alpha | 0.18 | - |
| Correlation | -2.79% | - |
| Treynor Ratio | -3.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.34 | 27.65 | 11.82 | + |
| 2021 | 8.39 | 8.47 | 1.01 | + |
| 2022 | 4.01 | -31.18 | -7.78 | - |
| 2023 | 7.42 | 36.13 | 4.87 | + |
| 2024 | 7.26 | -17.39 | -2.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-11-29 | -49.72 | 1135 |
| 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 |
| 2020-07-08 | 2020-07-20 | -2.09 | 12 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |