| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -21.49% | 19.91% |
| CAGR﹪ | -12.2% | 10.25% |
| Sharpe | -0.4 | 3.19 |
| Prob. Sharpe Ratio | 29.19% | 100.0% |
| Smart Sharpe | -0.35 | 2.81 |
| Sortino | -0.48 | 86.41 |
| Smart Sortino | -0.42 | 76.31 |
| Sortino/√2 | -0.34 | 61.1 |
| Smart Sortino/√2 | -0.3 | 53.96 |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -47.79% | -1.25% |
| Longest DD Days | 552 | 209 |
| Volatility (ann.) | 25.6% | 3.2% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.26 | 8.17 |
| Skew | -2.81 | 11.78 |
| Kurtosis | 23.12 | 140.45 |
| Expected Daily | -0.05% | 0.04% |
| Expected Monthly | -1.0% | 0.76% |
| Expected Yearly | -7.75% | 6.24% |
| Kelly Criterion | 2.17% | 81.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.69% | -0.29% |
| Expected Shortfall (cVaR) | -2.69% | -0.29% |
| Max Consecutive Wins | 8 | 216 |
| Max Consecutive Losses | 8 | 65 |
| Gain/Pain Ratio | -0.08 | 14.46 |
| Gain/Pain (1M) | -0.23 | 14.46 |
| Payoff Ratio | 0.95 | 3.42 |
| Profit Factor | 0.92 | 15.46 |
| Common Sense Ratio | 0.79 | 55.24 |
| CPC Index | 0.46 | 45.17 |
| Tail Ratio | 0.86 | 3.57 |
| Outlier Win Ratio | 1.88 | 32.46 |
| Outlier Loss Ratio | 2.29 | 125.9 |
| MTD | -2.44% | 0.31% |
| 3M | 14.25% | 1.5% |
| 6M | 20.09% | 3.54% |
| YTD | 19.03% | 2.38% |
| 1Y | 8.08% | 2.62% |
| 3Y (ann.) | -12.2% | 10.25% |
| 5Y (ann.) | -12.2% | 10.25% |
| 10Y (ann.) | -12.2% | 10.25% |
| All-time (ann.) | -12.2% | 10.25% |
| Best Day | 6.76% | 2.47% |
| Worst Day | -15.27% | -0.02% |
| Best Month | 17.94% | 7.61% |
| Worst Month | -22.36% | -0.52% |
| Best Year | 19.03% | 11.92% |
| Worst Year | -33.79% | 2.38% |
| Avg. Drawdown | -6.62% | -1.25% |
| Avg. Drawdown Days | 73 | 209 |
| Recovery Factor | -0.45 | 15.87 |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.03 | 8.68 |
| Avg. Up Month | 5.34% | 1.18% |
| Avg. Down Month | -2.25% | -0.37% |
| Win Days | 52.47% | 85.56% |
| Win Month | 50.0% | 87.5% |
| Win Quarter | 44.44% | 88.89% |
| Win Year | 33.33% | 100.0% |
| Beta | 1.2 | - |
| Alpha | -0.22 | - |
| Correlation | 14.96% | - |
| Treynor Ratio | -17.96% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.65 | -0.39 | -0.08 | - |
| 2022 | 11.92 | -33.79 | -2.83 | - |
| 2023 | 2.38 | 19.03 | 7.99 | + |
| 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 |