| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 54.0% | 100.0% |
| Cumulative Return | -14.52% | -26.57% |
| CAGR﹪ | -3.14% | -6.09% |
| Sharpe | -9.87 | -7.56 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.61 | -7.37 |
| Sortino | -9.16 | -7.84 |
| Smart Sortino | -8.92 | -7.63 |
| Sortino/√2 | -6.47 | -5.54 |
| Smart Sortino/√2 | -6.3 | -5.4 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -50.72% | -65.76% |
| Longest DD Days | 1157 | 1155 |
| Volatility (ann.) | 21.25% | 27.9% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.06 | -0.09 |
| Skew | -0.84 | 0.88 |
| Kurtosis | 19.44 | 11.03 |
| Expected Daily | -0.01% | -0.02% |
| Expected Monthly | -0.26% | -0.51% |
| Expected Yearly | -2.58% | -5.02% |
| Kelly Criterion | 1.09% | -4.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.2% | -2.9% |
| Expected Shortfall (cVaR) | -2.2% | -2.9% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | -0.01 | -0.01 |
| Gain/Pain (1M) | -0.05 | -0.06 |
| Payoff Ratio | 0.94 | 0.98 |
| Profit Factor | 0.99 | 0.99 |
| Common Sense Ratio | 0.96 | 1.01 |
| CPC Index | 0.48 | 0.47 |
| Tail Ratio | 0.97 | 1.03 |
| Outlier Win Ratio | 8.7 | 3.17 |
| Outlier Loss Ratio | 2.99 | 3.33 |
| MTD | 0.0% | -0.47% |
| 3M | 0.0% | 7.42% |
| 6M | 0.0% | -5.83% |
| YTD | 0.0% | -3.38% |
| 1Y | 0.0% | -16.48% |
| 3Y (ann.) | -14.47% | -19.28% |
| 5Y (ann.) | -3.14% | -6.09% |
| 10Y (ann.) | -3.14% | -6.09% |
| All-time (ann.) | -3.14% | -6.09% |
| Best Day | 11.6% | 18.52% |
| Worst Day | -14.66% | -9.22% |
| Best Month | 9.82% | 33.85% |
| Worst Month | -18.69% | -18.55% |
| Best Year | 22.65% | 25.45% |
| Worst Year | -26.92% | -26.38% |
| Avg. Drawdown | -5.81% | -6.04% |
| Avg. Drawdown Days | 69 | 69 |
| Recovery Factor | -0.29 | -0.4 |
| Ulcer Index | 0.36 | 0.38 |
| Serenity Index | -0.41 | -0.5 |
| Avg. Up Month | 6.19% | 5.87% |
| Avg. Down Month | -5.76% | -4.86% |
| Win Days | 52.19% | 48.35% |
| Win Month | 41.18% | 50.0% |
| Win Quarter | 50.0% | 47.62% |
| Win Year | 50.0% | 33.33% |
| Beta | 0.37 | - |
| Alpha | 0.0 | - |
| Correlation | 49.01% | - |
| Treynor Ratio | -1914.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.91 | 15.76 | 1.06 | + |
| 2020 | 25.45 | 22.65 | 0.89 | - |
| 2021 | -26.38 | -26.92 | 1.02 | - |
| 2022 | -20.99 | -17.62 | 0.84 | + |
| 2023 | -9.37 | 0.00 | -0.00 | + |
| 2024 | -3.38 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-16 | 2024-04-18 | -50.72 | 1157 |
| 2020-01-20 | 2020-06-23 | -23.70 | 155 |
| 2019-07-03 | 2019-09-12 | -10.99 | 71 |
| 2020-11-06 | 2021-01-12 | -10.68 | 67 |
| 2019-09-13 | 2019-12-12 | -9.29 | 90 |
| 2020-08-27 | 2020-10-12 | -7.76 | 46 |
| 2021-01-26 | 2021-02-09 | -6.11 | 14 |
| 2020-07-14 | 2020-08-25 | -5.84 | 42 |
| 2019-05-22 | 2019-06-11 | -3.05 | 20 |
| 2019-06-13 | 2019-06-18 | -2.76 | 5 |