| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -21.49% | 17.21% |
| CAGR﹪ | -12.2% | 8.91% |
| Sharpe | -0.4 | 11.32 |
| Prob. Sharpe Ratio | 29.19% | 100.0% |
| Smart Sharpe | -0.35 | 10.0 |
| Sortino | -0.48 | - |
| Smart Sortino | -0.42 | - |
| Sortino/√2 | -0.34 | - |
| Smart Sortino/√2 | -0.3 | - |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -47.79% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.6% | 0.78% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.26 | - |
| Skew | -2.81 | 10.3 |
| Kurtosis | 23.12 | 108.97 |
| Expected Daily | -0.05% | 0.04% |
| Expected Monthly | -1.0% | 0.66% |
| Expected Yearly | -7.75% | 5.44% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.69% | -0.05% |
| Expected Shortfall (cVaR) | -2.69% | -0.05% |
| Max Consecutive Wins | 8 | 450 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.08 | - |
| Gain/Pain (1M) | -0.23 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.92 | - |
| Common Sense Ratio | 0.79 | - |
| CPC Index | - | - |
| Tail Ratio | 0.86 | 2.33 |
| Outlier Win Ratio | 1.86 | 46.11 |
| Outlier Loss Ratio | 2.27 | - |
| MTD | -2.44% | 0.65% |
| 3M | 14.25% | 2.55% |
| 6M | 20.09% | 4.58% |
| YTD | 19.03% | 3.28% |
| 1Y | 8.08% | 8.58% |
| 3Y (ann.) | -12.2% | 8.91% |
| 5Y (ann.) | -12.2% | 8.91% |
| 10Y (ann.) | -12.2% | 8.91% |
| All-time (ann.) | -12.2% | 8.91% |
| Best Day | 6.76% | 0.65% |
| Worst Day | -15.27% | 0.0% |
| Best Month | 17.94% | 1.55% |
| Worst Month | -22.36% | 0.38% |
| Best Year | 19.03% | 9.41% |
| Worst Year | -33.79% | 3.28% |
| Avg. Drawdown | -6.62% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.45 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 5.21% | 0.68% |
| Avg. Down Month | - | - |
| Win Days | 52.47% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 44.44% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | 2.56 | - |
| Alpha | -0.33 | - |
| Correlation | 7.85% | - |
| Treynor Ratio | -8.39% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.73 | -0.39 | -0.10 | - |
| 2022 | 9.41 | -33.79 | -3.59 | - |
| 2023 | 3.28 | 19.03 | 5.81 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2023-05-02 | -47.79 | 552 |
| 2021-09-09 | 2021-10-08 | -4.94 | 29 |
| 2021-06-23 | 2021-07-27 | -2.95 | 34 |
| 2021-08-12 | 2021-08-30 | -1.76 | 18 |
| 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 |