| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -19.93% | 8.87% |
| CAGR﹪ | -11.39% | 4.73% |
| Sharpe | -0.36 | 0.32 |
| Prob. Sharpe Ratio | 31.29% | 66.43% |
| Smart Sharpe | -0.31 | 0.28 |
| Sortino | -0.43 | 0.48 |
| Smart Sortino | -0.38 | 0.43 |
| Sortino/√2 | -0.3 | 0.34 |
| Smart Sortino/√2 | -0.27 | 0.3 |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -47.79% | -39.65% |
| Longest DD Days | 552 | 398 |
| Volatility (ann.) | 25.74% | 24.95% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.24 | 0.12 |
| Skew | -2.8 | 1.15 |
| Kurtosis | 22.93 | 11.67 |
| Expected Daily | -0.05% | 0.02% |
| Expected Monthly | -0.92% | 0.35% |
| Expected Yearly | -7.14% | 2.87% |
| Kelly Criterion | -2.72% | -0.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.7% | -2.55% |
| Expected Shortfall (cVaR) | -2.7% | -2.55% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | -0.07 | 0.07 |
| Gain/Pain (1M) | -0.21 | 0.25 |
| Payoff Ratio | 0.85 | 0.96 |
| Profit Factor | 0.93 | 1.07 |
| Common Sense Ratio | 0.79 | 0.88 |
| CPC Index | 0.42 | 0.52 |
| Tail Ratio | 0.85 | 0.82 |
| Outlier Win Ratio | 4.46 | 4.08 |
| Outlier Loss Ratio | 4.29 | 4.94 |
| MTD | -2.44% | -0.79% |
| 3M | 14.25% | 13.42% |
| 6M | 20.09% | 30.02% |
| YTD | 19.03% | 13.91% |
| 1Y | 8.08% | 12.2% |
| 3Y (ann.) | -11.39% | 4.73% |
| 5Y (ann.) | -11.39% | 4.73% |
| 10Y (ann.) | -11.39% | 4.73% |
| All-time (ann.) | -11.39% | 4.73% |
| Best Day | 6.76% | 10.7% |
| Worst Day | -15.27% | -6.67% |
| Best Month | 17.94% | 19.77% |
| Worst Month | -22.36% | -16.34% |
| Best Year | 19.03% | 13.91% |
| Worst Year | -33.79% | -6.4% |
| Avg. Drawdown | -5.04% | -5.42% |
| Avg. Drawdown Days | 54 | 54 |
| Recovery Factor | -0.42 | 0.22 |
| Ulcer Index | 0.28 | 0.19 |
| Serenity Index | -0.02 | 0.02 |
| Avg. Up Month | 5.82% | 3.92% |
| Avg. Down Month | -5.7% | -7.08% |
| Win Days | 52.73% | 50.79% |
| Win Month | 52.17% | 56.52% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.01 | - |
| Alpha | -0.09 | - |
| Correlation | 1.2% | - |
| Treynor Ratio | -1611.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.11 | 1.59 | 0.75 | - |
| 2022 | -6.40 | -33.79 | 5.28 | - |
| 2023 | 13.91 | 19.03 | 1.37 | + |
| 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 |
| 2021-07-08 | 2021-07-12 | -1.22 | 4 |
| 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 |
| 2021-07-06 | 2021-07-07 | -0.31 | 1 |