| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -20.01% | -17.4% |
| CAGR﹪ | -11.31% | -9.77% |
| Sharpe | -0.62 | -0.35 |
| Prob. Sharpe Ratio | 2.15% | 4.35% |
| Smart Sharpe | -0.54 | -0.31 |
| Sortino | -0.74 | -0.44 |
| Smart Sortino | -0.65 | -0.38 |
| Sortino/√2 | -0.53 | -0.31 |
| Smart Sortino/√2 | -0.46 | -0.27 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -47.79% | -47.18% |
| Longest DD Days | 561 | 568 |
| Volatility (ann.) | 25.55% | 32.95% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.24 | -0.21 |
| Skew | -2.83 | -3.69 |
| Kurtosis | 23.32 | 71.7 |
| Expected Daily | -0.05% | -0.04% |
| Expected Monthly | -0.97% | -0.83% |
| Expected Yearly | -7.17% | -6.17% |
| Kelly Criterion | -3.01% | -6.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.68% | -3.43% |
| Expected Shortfall (cVaR) | -2.68% | -3.43% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.07 | -0.04 |
| Gain/Pain (1M) | -0.21 | -0.13 |
| Payoff Ratio | 0.85 | 0.77 |
| Profit Factor | 0.93 | 0.96 |
| Common Sense Ratio | 0.79 | 0.88 |
| CPC Index | 0.42 | 0.4 |
| Tail Ratio | 0.86 | 0.91 |
| Outlier Win Ratio | 3.93 | 3.49 |
| Outlier Loss Ratio | 4.53 | 4.19 |
| MTD | -2.44% | -0.04% |
| 3M | 12.74% | 15.63% |
| 6M | 21.32% | 24.22% |
| YTD | 19.03% | 21.29% |
| 1Y | 8.8% | 11.93% |
| 3Y (ann.) | -11.31% | -9.77% |
| 5Y (ann.) | -11.31% | -9.77% |
| 10Y (ann.) | -11.31% | -9.77% |
| All-time (ann.) | -11.31% | -9.77% |
| Best Day | 6.76% | 17.7% |
| Worst Day | -15.27% | -26.6% |
| Best Month | 17.94% | 16.77% |
| Worst Month | -22.36% | -19.39% |
| Best Year | 19.03% | 21.29% |
| Worst Year | -33.79% | -32.57% |
| Avg. Drawdown | -5.47% | -6.02% |
| Avg. Drawdown Days | 59 | 65 |
| Recovery Factor | -0.42 | -0.37 |
| Ulcer Index | 0.28 | 0.28 |
| Serenity Index | -0.03 | -0.04 |
| Avg. Up Month | 5.2% | 4.86% |
| Avg. Down Month | -6.89% | -6.37% |
| Win Days | 52.62% | 53.78% |
| Win Month | 52.17% | 52.17% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.32 | - |
| Alpha | -0.08 | - |
| Correlation | 41.75% | - |
| Treynor Ratio | -83.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.99 | 1.49 | 1.50 | + |
| 2022 | -32.57 | -33.79 | 1.04 | - |
| 2023 | 21.29 | 19.03 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2023-05-11 | -47.79 | 561 |
| 2021-09-09 | 2021-10-08 | -4.94 | 29 |
| 2021-07-14 | 2021-07-27 | -2.32 | 13 |
| 2021-08-12 | 2021-08-30 | -1.76 | 18 |
| 2021-07-06 | 2021-07-12 | -1.22 | 6 |
| 2021-10-20 | 2021-10-26 | -0.76 | 6 |
| 2021-07-30 | 2021-08-10 | -0.52 | 11 |
| 2021-10-15 | 2021-10-18 | -0.43 | 3 |
| 2021-10-13 | 2021-10-14 | -0.37 | 1 |
| 2021-09-01 | 2021-09-02 | -0.05 | 1 |