| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -20.01% | -19.5% |
| CAGR﹪ | -11.45% | -11.14% |
| Sharpe | -0.62 | -0.4 |
| Prob. Sharpe Ratio | 2.21% | 3.87% |
| Smart Sharpe | -0.55 | -0.35 |
| Sortino | -0.74 | -0.49 |
| Smart Sortino | -0.66 | -0.43 |
| Sortino/√2 | -0.53 | -0.35 |
| Smart Sortino/√2 | -0.46 | -0.3 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -47.79% | -47.55% |
| Longest DD Days | 552 | 559 |
| Volatility (ann.) | 25.75% | 33.26% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.24 | -0.23 |
| Skew | -2.81 | -3.62 |
| Kurtosis | 22.92 | 70.04 |
| Expected Daily | -0.05% | -0.05% |
| Expected Monthly | -0.97% | -0.94% |
| Expected Yearly | -7.17% | -6.97% |
| Kelly Criterion | -3.06% | -5.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.71% | -3.47% |
| Expected Shortfall (cVaR) | -2.71% | -3.47% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.07 | -0.05 |
| Gain/Pain (1M) | -0.21 | -0.16 |
| Payoff Ratio | 0.85 | 0.76 |
| Profit Factor | 0.93 | 0.95 |
| Common Sense Ratio | 0.79 | 0.83 |
| CPC Index | 0.42 | 0.4 |
| Tail Ratio | 0.85 | 0.87 |
| Outlier Win Ratio | 3.94 | 3.69 |
| Outlier Loss Ratio | 4.54 | 4.06 |
| MTD | -2.44% | -1.83% |
| 3M | 14.25% | 14.88% |
| 6M | 20.09% | 20.7% |
| YTD | 19.03% | 19.11% |
| 1Y | 8.08% | 8.1% |
| 3Y (ann.) | -11.45% | -11.14% |
| 5Y (ann.) | -11.45% | -11.14% |
| 10Y (ann.) | -11.45% | -11.14% |
| All-time (ann.) | -11.45% | -11.14% |
| Best Day | 6.76% | 17.69% |
| Worst Day | -15.27% | -26.6% |
| Best Month | 17.94% | 17.79% |
| Worst Month | -22.36% | -20.39% |
| Best Year | 19.03% | 19.11% |
| Worst Year | -33.79% | -33.62% |
| Avg. Drawdown | -5.47% | -6.05% |
| Avg. Drawdown Days | 58 | 64 |
| Recovery Factor | -0.42 | -0.41 |
| Ulcer Index | 0.28 | 0.28 |
| Serenity Index | -0.03 | -0.04 |
| Avg. Up Month | 5.2% | 4.93% |
| Avg. Down Month | -6.89% | -6.63% |
| Win Days | 52.62% | 54.44% |
| Win Month | 52.17% | 52.17% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.33 | - |
| Alpha | -0.07 | - |
| Correlation | 42.64% | - |
| Treynor Ratio | -81.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.82 | 1.49 | 0.82 | - |
| 2022 | -33.62 | -33.79 | 1.00 | - |
| 2023 | 19.11 | 19.03 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2023-05-02 | -47.79 | 552 |
| 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 |